A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise

DOI10.1016/j.jeconom.2017.11.006zbMath1386.62038OpenAlexW3123379207MaRDI QIDQ1706484

Yichu Li, Zhiyuan Zhang, Ying-Ying Li

Publication date: 22 March 2018

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

Full work available at URL: http://repository.ust.hk/ir/bitstream/1783.1-85832/1/602710-Article-7-fulltext-pre.pdf

zbMATH Keywords

central limit theoremshigh-frequency datarounding errorsmarket microstructure noiserealized volatilityintegrated volatilityvolatility estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

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