Showing 1 - 10 of 5,762
We consider the problem of estimating volatility based on high-frequency data when the observed price process is a continuous Itô semimartingale contaminated by microstructure noise. Assuming that the noise process is compatible across different sampling frequencies, we argue that it typically...
Persistent link: https://www.econbiz.de/10013220217
This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first‐order...
Persistent link: https://www.econbiz.de/10014362565
Persistent link: https://www.econbiz.de/10003968591
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results from Jacod (2008) are generalized to the case of irregular observations. In the two-dimensional...
Persistent link: https://www.econbiz.de/10009745914
Persistent link: https://www.econbiz.de/10010426624
Persistent link: https://www.econbiz.de/10009793469
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011524214
Persistent link: https://www.econbiz.de/10011504639
Persistent link: https://www.econbiz.de/10011326801
Persistent link: https://www.econbiz.de/10011974659