Real-time scheme for the volatility estimation in the presence of microstructure noise

DOI10.1515/MCMA.2008.015zbMath1151.91529OpenAlexW1968348538MaRDI QIDQ5502860

Shigeyoshi Ogawa

Publication date: 9 January 2009

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2008.015

zbMATH Keywords

microstructure noisevolatility estimation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05)

Related Items (7)

An integrated cross-volatility estimation for asynchronous noisy data ⋮ From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution ⋮ Parametric estimation for discretely observed stochastic processes with jumps ⋮ Some aspects of strong inversion formulas of an SFT ⋮ Real-time estimation scheme for the spot cross volatility of jump diffusion processes ⋮ A central limit theorem for the functional estimation of the spot volatility ⋮ A direct inversion formula for SFT

Cites Work

• On a real-time scheme for the estimation of volatility

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