Between data cleaning and inference: pre-averaging and robust estimators of the efficient price

DOI10.1016/J.JECONOM.2016.05.005zbMATH Open1443.62366OpenAlexW3122788840MaRDI QIDQ308366FDOQ308366

Lan Zhang, Per Aslak Mykland

Publication date: 6 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.005

zbMATH Keywords

consistencyM-estimationefficiencyjumpsrobust estimationcontinuityleverage effectcontiguitystable convergenceequivalent martingale measuremicrostructurecumulantshigh frequency datasemi-martingalerealised volatilitydiscrete observationmedianisationpre-averagingrealised beta

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44)

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Cited In (9)

• Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
• Estimation of the discontinuous leverage effect: evidence from the NASDAQ order book
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
• Testing for mutually exciting jumps and financial flights in high frequency data
• Robust covariance estimation with noisy high-frequency financial data
• Probabilistic models and statistics for electronic financial markets in the digital age
• The observed asymptotic variance: hard edges, and a regression approach
• Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
• Large deviation principles of realized Laplace transform of volatility

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