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

diffusion modelshigh frequency dataintegrated volatilitymicrostructure noiseround-off errorvariation methodswavelets

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

(24)

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• Estimating the integrated volatility using high-frequency data with zero durations
• Expectiles for subordinated Gaussian processes with applications
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