Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the volatility function σ. As an application, simple rateoptimal estimators of the volatility and efficient estimators of the integrated volatility are constructed.

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Year of publication:	2011-05
Authors:	Reiß, Markus
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	High-frequency data \| integrated volatility \| spot volatility estimation \| Le Cam deficiency \| equivalence of experiments \| Gaussian shift

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2011-028 37 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009024916