Subsampling high frequency data
Journal of Econometrics, 2011, vol. 161, issue 2, 262-283
The main contribution of this paper is to propose a novel way of conducting inference for an important general class of estimators that includes many estimators of integrated volatility. A subsampling scheme is introduced that consistently estimates the asymptotic variance for an estimator, thereby facilitating inference and the construction of valid confidence intervals. The new method does not rely on the exact form of the asymptotic variance, which is useful when the latter is of complicated form. The method is applied to the volatility estimator of Aït-Sahalia etÂ al. (2011) in the presence of autocorrelated and heteroscedastic market microstructure noise.
Keywords: Subsampling; Market; microstructure; noise; High; frequency; data; Realised; volatility (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:161:y:2011:i:2:p:262-283
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