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Ultra high frequency volatility estimation with dependent microstructure noise

Yacine Ait-Sahalia, Per A. Mykland and Lan Zhang

Journal of Econometrics, 2011, vol. 160, issue 1, 160-175

Abstract: We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach is based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.

Keywords: Market; microstructure; Serial; dependence; High; frequency; data; Realized; volatility; Subsampling; Two; scales; realized; volatility; Multiple; scales; realized; volatility (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (136)

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Working Paper: Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise (2005) Downloads
Working Paper: Ultra high frequency volatility estimation with dependent microstructure noise (2005) Downloads
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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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Handle: RePEc:eee:econom:v:160:y:2011:i:1:p:160-175