Estimation of Quarticity with High Frequency Data

We propose a new methodology based on Fourier analysis to estimate the fourth power of volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove consistency of the proposed estimator of integrated quarticity. Further we analyze its efficiency in the presence of microstructure noise, both from 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:	2011-09
Authors:	Mancino, Maria Elvira ; Sanfelici, Simona
Institutions:	Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze
Subject:	volatility \| covariance \| quarticity \| microstructure \| Fourier analysis

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Extent:	application/pdf
Series:	Working Papers - Mathematical Economics.
Type of publication:	Book / Working Paper
Notes:	Number 2011-06 28 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009294734