ESTIMATING VOLATILITY FUNCTIONALS WITH MULTIPLE TRANSACTIONS

Bing-Yi Jing, Zhi Liu and Xin-Bing Kong

Econometric Theory, 2017, vol. 33, issue 2, 331-365

Abstract: The phenomenon of multiple transactions at each recording time is a common occurrence for high-frequency financial data because of the heavy trading of the market and limitation of the recording mechanism. This situation has existed for many years, but has become more common in recent years because of heavier trading. Surprisingly, there have been few studies on this important issue, in spite of some ad hoc approaches to treat multiple transactions. In this paper we investigate how to handle multiple transactions, particularly in the context of estimating the integrated volatility and integrated quarticity, which are of great interest in financial econometrics. Two approaches are proposed for this purpose, and their asymptotic properties are investigated. Their performances are confirmed by simulation studies. The estimators are also applied to some real world problems. The work represents only the first step in this direction, and some future research problems are discussed.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:33:y:2017:i:02:p:331-365_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().