Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Jean Jacod, Yingying Li, Oer A. Mykland, Mark Podolskij () and Mathias Vetter ()
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Mathias Vetter: School of Economics and Management, University of Aarhus, Denmark and CREATES, Postal: 8000 Aarhus C, Denmark

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility – in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).

Keywords: consistency; continuity; discrete observation; Itô process; leverage effect; pre-averaging; quarticity; realized volatility; stable convergence (search for similar items in EconPapers)
JEL-codes: C10 C13 C14 (search for similar items in EconPapers)
Pages: 30
Date: 2007-12-10
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:aah:create:2007-43

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