Efficient asymptotic variance reduction when estimating volatility in high frequency data

DOI10.1016/j.jeconom.2018.05.002zbMath1398.62288arXiv1701.01185OpenAlexW2574169411WikidataQ129673291 ScholiaQ129673291MaRDI QIDQ1668576

Simon Clinet, Yoann Potiron

Publication date: 29 August 2018

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01185

zbMATH Keywords

jumpsquasi-maximum likelihood estimatorhigh frequency datamarket microstructure noiseintegrated volatilityrealized kernelsblock estimatesstochastic sampling times

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09)

Related Items

Robust covariance estimation with noisy high-frequency financial data ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Common price and volatility jumps in noisy high-frequency data ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise ⋮ Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book ⋮ Statistical inference for the doubly stochastic self-exciting process ⋮ Estimation for high-frequency data under parametric market microstructure noise ⋮ Cointegration in high frequency data

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