Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise

DOI10.1080/03610926.2013.847103zbMath1342.62166OpenAlexW2012573932MaRDI QIDQ2792279

Yun-Cheng Tsai, Yuh-Dauh Lyuu

Publication date: 8 March 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.847103

zbMATH Keywords

quadratic variationmicrostructure noisehigh-frequencyrealized variation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Realized volatility forecasting and option pricing
• High frequency market microstructure noise estimates and liquidity measures
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Tale of Two Time Scales

This page was built for publication: Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise