Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

DOI10.1016/j.jeconom.2010.03.027zbMath1441.62596OpenAlexW2061820889MaRDI QIDQ737273

Federico M. Bandi, Jeffrey R. Russell

Publication date: 10 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.027

zbMATH Keywords

microstructure noiseintegrated variancerealized variancekernel-based estimators

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (14)

Optimal design of Fourier estimator in the presence of microstructure noise ⋮ Microstructure noise in the continuous case: the pre-averaging approach ⋮ Adaptive wavelet estimation of the diffusion coefficient under additive error measurements ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ Realized Volatility: A Review ⋮ Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading ⋮ Data-based ranking of realised volatility estimators ⋮ Bias-corrected realized variance under dependent microstructure noise ⋮ Modelling microstructure noise with mutually exciting point processes ⋮ MODEL-FREE IMPLIED VOLATILITY: FROM SURFACE TO INDEX ⋮ Assessing the quality of volatility estimators via option pricing ⋮ Quasi-maximum likelihood estimation of volatility with high frequency data ⋮ Volatility Estimation and Jump Testing via Realized Information Variation ⋮ Bias-corrected realized variance

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