کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156904 | 958895 | 2009 | 29 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Bipower-type estimation in a noisy diffusion setting Bipower-type estimation in a noisy diffusion setting](/preview/png/1156904.png)
We consider a new class of estimators for volatility functionals in the setting of frequently observed Itō diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence of microstructure noise and are closely related to the original concept of bipower variation in the no-noise case. We show that this approach provides efficient estimators for a large class of integrated powers of volatility and prove the associated (stable) central limit theorems. In a more general Itō semimartingale framework this method can be used to define both estimators for the entire quadratic variation of the underlying process and jump-robust estimators which are consistent for various functionals of volatility. As a by-product we obtain a simple test for the presence of jumps in the underlying semimartingale.
Journal: Stochastic Processes and their Applications - Volume 119, Issue 9, September 2009, Pages 2803–2831