Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

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:	2007-12-10
Authors:	Jacod, Jean ; Li, Yingying ; Mykland, Per A. ; Podolskij, Mark ; Vetter, Mathias
Institutions:	School of Economics and Management, University of Aarhus
Subject:	consistency \| continuity \| discrete observation \| Itô process \| leverage effect \| pre-averaging \| quarticity \| realized volatility \| stable convergence

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	3 pages long
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005787544