Integrated volatility and round-off error

DOI10.3150/08-BEJ170MaRDI QIDQ605018zbMATH OpenFDO

Authors Mathieu Rosenbaum

Publication date 12 November 2010

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.0835

zbMATH Keywords

waveletsmicrostructure noisehigh frequency dataintegrated volatilitydiffusion modelsround-off errorvariation methods

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Abstract: We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency $n$, with round-off error $alph{a}_n$, of a diffusion on a finite interval. We give from this sample estimators for different forms of the integrated volatility of the asset. Our method is based on variational properties of the process associated with wavelet techniques. We prove that the accuracy of our estimation procedures is $alph{a}_{n}vee{n}^{-1/2}$. Using compensated estimators, limit theorems are obtained.

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Cited in

(21)

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• Estimating the integrated volatility using high-frequency data with zero durations
• On the asymptotic structure of Brownian motions with a small lead-lag effect
• Asymptotic results for time-changed Lévy processes sampled at hitting times
• Expectiles for subordinated Gaussian processes with applications
• Volatility estimation and jump testing via realized information variation
• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
• Efficient estimation of integrated volatility incorporating trading information
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
• Trading information, price discreteness, and volatility estimation
• A new microstructure noise index
• Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
• Estimation of Leverage Effect: Kernel Function and Efficiency
• Volatility and covariation estimation when microstructure noise and trading times are endogenous
• The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
• The effect of round-off error on long memory processes
• Estimation of the lead-lag parameter from non-synchronous data
• A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise

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