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:	2012
Authors:	Mancino, Maria Elvira ; Sanfelici, Simona
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 12.2012, 4, p. 607-622
Publisher:	Taylor & Francis Journals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010606791