A new microstructure noise index

DOI10.1080/14697680903514352zbMath1217.91212OpenAlexW2025492483MaRDI QIDQ3019507

Mathieu Rosenbaum

Publication date: 28 July 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903514352

zbMATH Keywords

fractional Brownian motionstochastic volatilitymarket microstructurefinancial econometricsinference for stochastic processescontinuous time finance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (10)

Inference for time-varying lead-lag relationships from ultra-high-frequency data ⋮ Volatility is rough ⋮ Forecasting the elasticity of variance with LSTM recurrent neural networks ⋮ Testing the type of a semi-martingale: Itō against multifractal ⋮ Estimation of the lead-lag parameter from non-synchronous data ⋮ Some limit theorems for Hawkes processes and application to financial statistics ⋮ Measuring the relevance of the microstructure noise in financial data ⋮ VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS ⋮ Modelling microstructure noise with mutually exciting point processes ⋮ Characterization of nonlinear Besov spaces

Cites Work

• Integrated volatility and round-off error
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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
• Microstructure noise in the continuous case: the pre-averaging approach
• Are volatility estimators robust with respect to modeling assumptions?
• Asymptotic properties of realized power variations and related functionals of semimartingales
• First order \(p\)-variations and Besov spaces
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Bootstrapping Realized Volatility
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Tale of Two Time Scales

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