Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method
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Publication:2347451
DOI10.1016/j.spa.2015.02.005zbMath1314.62095OpenAlexW2048723953MaRDI QIDQ2347451
Publication date: 27 May 2015
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2015.02.005
microstructureefficiencyadaptive estimationleverage effectsemi-martingalehigh frequency datastable convergencerealized volatilityItô processdiscrete observationpre-averaging
Related Items (8)
A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous ⋮ Common price and volatility jumps in noisy high-frequency data ⋮ Efficient asymptotic variance reduction when estimating volatility in high frequency data ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ Central limit theorems for discretized occupation time functionals ⋮ Optimal estimation of the rough Hurst parameter in additive noise ⋮ Estimation of volatility in a high-frequency setting: a short review ⋮ Functional stable limit theorems for quasi-efficient spectral covolatility estimators
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