A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
DOI10.1016/J.JECONOM.2017.11.006zbMATH Open1386.62038OpenAlexW3123379207MaRDI QIDQ1706484FDOQ1706484
Authors: Zhiyuan Zhang, Yichu Li, Yingying Li 
Publication date: 22 March 2018
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-85832/1/602710-Article-7-fulltext-pre.pdf
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realized volatilitycentral limit theoremshigh-frequency datamarket microstructure noiseintegrated volatilityvolatility estimationrounding errors
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Cites Work
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- A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
- Efficient estimation of integrated volatility incorporating trading information
- Integrated volatility and round-off error
- Edgeworth series for lattice distributions
- Statistical Properties of Microstructure Noise
Cited In (18)
- Inference for time-varying lead-lag relationships from ultra-high-frequency data
- On estimating market microstructure noise variance
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- Estimating the integrated volatility with tick observations
- Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
- From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
- Volatility measurement with pockets of extreme return persistence
- Efficient estimation of integrated volatility incorporating trading information
- Trading information, price discreteness, and volatility estimation
- Disentangling Sources of High Frequency Market Microstructure Noise
- Integrated volatility and round-off error
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
- Forecasting high-dimensional realized volatility matrices using a factor model
- The SIML estimation of integrated covariance and hedging coefficient under round-off errors, micro-market price adjustments and random sampling
- Mean-variance portfolio selection for partially observed point processes
- Are volatility estimators robust with respect to modeling assumptions?
- Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise
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