EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (136)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4076(10)00070-9
Full text for ScienceDirect subscribers only

Related works:
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
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:eee:econom:v:160:y:2011:i:1:p:160-175

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-06-08
Handle: RePEc:eee:econom:v:160:y:2011:i:1:p:160-175