Microstructure noise in the continuous case: The pre-averaging approach

被引：374

作者：

Jacod, Jean ^{[1
,2
]}

Li, Yingying ^{[3
]}

Mykland, Per A. ^{[3
]}

Podolskij, Mark ^{[4
]}

Vetter, Mathias ^{[5
]}

机构：

[1] CNRS, Inst Math Jussieu, UMR 7586, F-75013 Paris, France

[2] Univ Paris 06, F-75013 Paris, France

[3] Univ Chicago, Dept Stat, Chicago, IL 60637 USA

[4] Univ Aarhus, Sch Econ & Management, CREATES, DK-8000 Aarhus C, Denmark

[5] Ruhr Univ Bochum, Fak Math, D-44780 Bochum, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2009年 / 119卷 / 07期

基金：

美国国家科学基金会;

关键词：

Consistency; Continuity; Discrete observation; Ito process; Leverage effect; Pre-averaging; Quarticity; Realized volatility; Stable convergence; HIGH-FREQUENCY DATA; STOCHASTIC VOLATILITY; REALIZED VOLATILITY; MARKET; ESTIMATORS; VARIANCE; OPTIONS; THEOREM; SAMPLE; MODELS;

D O I：

10.1016/j.spa.2008.11.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper presents it generalized Pre-averaging approach for estimating the integrated volatility, in the presence of noise. This approach also provides consistent estimators of other powers of volatility - in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possesses an intuitive transparency, can generate rate optimal estimators (with convergence rate n(-1/4)). (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2249 / 2276

页数：28

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