کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
417282 681479 2008 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
چکیده انگلیسی

The finite sample properties of the Fourier estimator of integrated volatility under market microstructure noise are studied. Analytic expressions for the bias and the mean squared error (MSE) of the contaminated estimator are derived. These formulae can be practically used to design optimal MSE-based estimators, which are very robust and efficient in the presence of noise. Moreover an empirical analysis based on a simulation study and on high-frequency logarithmic prices of the Italian stock index futures (FIB30) validates the theoretical results.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 52, Issue 6, 20 February 2008, Pages 2966–2989
نویسندگان
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