Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
| العنوان: | Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity |
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| المؤلفون: | Erlin Guo, Cui-Xia Li |
| المصدر: | Communications in Statistics - Theory and Methods. 47:521-531 |
| بيانات النشر: | Informa UK Limited, 2017. |
| سنة النشر: | 2017 |
| مصطلحات موضوعية: | Statistics and Probability, Finite variation, 05 social sciences, Frequency data, Estimator, Market microstructure, 01 natural sciences, 010104 statistics & probability, 0502 economics and business, Econometrics, Applied mathematics, Endogeneity, 0101 mathematics, Volatility (finance), Local average, 050205 econometrics, Mathematics, Central limit theorem |
| الوصف: | In this paper, we investigate a new estimator of the integrated volatility of Ito semimartingales in the presence of both market microstructure noise and jumps when sampling times are endogenous. In the first step, our estimation wipes off the effects of the microstructure noise, and in the second step our estimator shrinks the effects of jumps. We provide consistency of the estimator when the jumps have finite variation and infinite variation and establish a central limit theorem for the estimator in a general endogenous time setting when the jumps only have finite variation. Simulation illustrates the performance of the proposed estimator. |
| تدمد: | 1532-415X 0361-0926 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::90567168a823c04c12e62d1a549f9906 https://doi.org/10.1080/03610926.2017.1307403 |
| رقم الأكسشن: | edsair.doi...........90567168a823c04c12e62d1a549f9906 |
| قاعدة البيانات: | OpenAIRE |
PDF full text from Publisher | تدمد: | 1532415X 03610926 |
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