The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times

Per A. Mykland, Lan Zhang and Dachuan Chen

Journal of Econometrics, 2019, vol. 208, issue 1, 101-119

Abstract: In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the effect of sampling times is canceled to high order. This is a particular robustness property of the two scales construction. In general, irregular, asynchronous, or endogenous times can cause problems in estimators based on equidistant observation of (trade or quote) times.

Keywords: Asynchronous times; Consistency; Discrete observation; Efficiency; Endogenous times; Equivalent martingale measure; Irregular times; Itô process; Leads and lags; Leverage effect; Microstructure; Pre-averaging; Realized volatility; Robust estimation; Stable convergence; Two scales estimation (search for similar items in EconPapers)
JEL-codes: C02 C13 C14 C15 C22 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:208:y:2019:i:1:p:101-119

DOI: 10.1016/j.jeconom.2018.09.007

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