Estimation of Quarticity with High Frequency Data

Maria Elvira Mancino and Simona Sanfelici ()
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Simona Sanfelici: Dipartimento di Economia, Universita' di Parma

No 2011-06, Working Papers - Mathematical Economics from Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa

Abstract: We propose a new methodology based on Fourier analysis to estimate the fourth power of volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove consistency of the proposed estimator of integrated quarticity. Further we analyze its efficiency in the presence of microstructure noise, both from a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed.

Keywords: volatility; covariance; quarticity; microstructure; Fourier analysis (search for similar items in EconPapers)
Pages: 28 pages
Date: 2011-09, Revised 2012-01
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 (7)

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Persistent link: https://EconPapers.repec.org/RePEc:flo:wpaper:2011-06

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