Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing popular volatility estimators via numerical studies. The results show that our estimator can have substantially better performance when time endogeneity exists.
Year of publication: |
2013-03
|
---|---|
Authors: | Li, Yingying ; Zhang, Zhiyuan ; Zheng, Xinghua |
Institutions: | arXiv.org |
Saved in:
Saved in favorites
Similar items by person
-
On the estimation of integrated covariance matrices of high dimensional diffusion processes
Zheng, Xinghua, (2010)
-
Volatility inference in the presence of both endogenous time and microstructure noise
Li, Yingying, (2013)
-
Realized volatility when sampling times are possibly endogenous
Li, Yingying, (2014)
- More ...