Estimation of Quarticity with High Frequency Data

We propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove the consistency of the proposed estimator of the integrated quarticity. Further, we analyse its efficiency in the presence of microstructure noise, from both a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed

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Year of publication:	2013
Authors:	Mancino, Maria Elvira
Other Persons:	Sanfelici, Simona (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Schätztheorie \| Estimation theory \| ARCH-Modell \| ARCH model \| Schätzung \| Estimation \| Börsenkurs \| Share price

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Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Quantitative Finance, Vol. 12(4) (2012), pp. 607-622 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2012 erstellt
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; c58 ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013084252