Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise

DOI10.1137/090756363zbMath1190.62182OpenAlexW2137477111MaRDI QIDQ3567037

No author found.

Publication date: 10 June 2010

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://eprints.soton.ac.uk/268756/1/75636.pdf

zbMATH Keywords

bias correction market microstructure noise realized volatility Whittle likelihood multiscale inference

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (8)

Optimal design of Fourier estimator in the presence of microstructure noise ⋮ Maximum likelihood estimation for multiscale Ornstein–Uhlenbeck processes ⋮ Drift estimation of multiscale diffusions based on filtered data ⋮ Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering ⋮ Realized wavelet-based estimation of integrated variance and jumps in the presence of noise ⋮ Diffusion Parameter Estimation for the Homogenized Equation ⋮ A new framework for extracting coarse-grained models from time series with multiscale structure ⋮ Perturbation-based inference for diffusion processes: Obtaining effective models from multiscale data

This page was built for publication: Frequency Domain Estimation of Integrated Volatility for Itô Processes in the Presence of Market-Microstructure Noise