کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156250 958814 2009 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Microstructure noise in the continuous case: The pre-averaging approach
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Microstructure noise in the continuous case: The pre-averaging approach
چکیده انگلیسی

This paper presents a generalized pre-averaging approach for estimating the integrated volatility, in the presence of noise. This approach also provides consistent estimators of other powers of volatility — in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possesses an intuitive transparency, can generate rate optimal estimators (with convergence rate n−1/4n−1/4).

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 7, July 2009, Pages 2249–2276
نویسندگان
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