Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527215 | Stochastic Processes and their Applications | 2013 | 32 Pages |
Abstract
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing popular volatility estimators via numerical studies. The results show that our estimator can have substantially better performance when time endogeneity exists.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Yingying Li, Zhiyuan Zhang, Xinghua Zheng,