Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations

Yacine Aït-Sahalia () and Per A. Mykland ()
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Yacine Aït-Sahalia: Princeton University, Princeton University and NBER, Bendheim Center for Finance
Per A. Mykland: The University of Chicago, Department of Statistics

Chapter 25 in Handbook of Financial Time Series, 2009, pp 577-598 from Springer

Abstract: Abstract This chapter reviews our recent work on disentangling high frequency volatility estimators from market microstructure noise, based on maximum-likelihood in the parametric case and two (or more) scales realized volatility (TSRV) in the nonparametric case. We discuss the basic theory, its extensions and the practical implementation of the estimators.

Keywords: Stochastic Volatility; Asymptotic Variance; Price Process; Quadratic Variation; Stochastic Volatility Model (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_25

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DOI: 10.1007/978-3-540-71297-8_25

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