Estimation for high-frequency data under parametric market microstructure noise
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Publication:2042282
DOI10.1007/s10463-020-00762-3zbMath1469.62401arXiv1712.01479OpenAlexW3084679219MaRDI QIDQ2042282
Publication date: 28 July 2021
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.01479
high-frequency datalimit order bookfunctionals of volatilityhigh-frequency covarianceparametric market microstructure noise
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10)
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Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ Time-invariant restrictions of volatility functionals: efficient estimation and specification tests ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ Volatility of volatility and leverage effect from options ⋮ Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach ⋮ Nonparametric estimation for high-frequency data incorporating trading information
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