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

This paper presents a generalized pre-averaging approach for estimating the integrated volatility. 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 possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).

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Year of publication:	2007
Authors:	Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Podolskij, Mark ; Vetter, Mathias
Institutions:	Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
Subject:	consistency \| continuity \| discrete observation \| Ito process \| leverage effect \| pre-averaging \| quarticity \| realized volatility \| stable convergence

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Extent:	application/pdf
Series:	Technical Reports.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 2007,41
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009216975