Estimation of volatility in a high-frequency setting: a short review
Jean Jacod ()
Additional contact information
Jean Jacod: Sorbonne Université
Decisions in Economics and Finance, 2019, vol. 42, issue 2, No 3, 385 pages
Abstract Our aim is to give an overview of the topic of estimation of volatility, in a high-frequency setting. We emphasize the various possible situations, relative to the underlying process (continuous, or with jumps having finite, or infinite, activity) and to the observation scheme (with microstructure noise or not, under a regular sampling scheme or not). We try to explain a variety of methods, including the most recent ones. Each method is quickly sketched, with comments on its range of applicability. Most results are given in the form of a theorem, with a precise description of the assumptions needed, but of course without proof, and some results are simply mentioned in a somewhat loose way. We consider only the one-dimensional case, although occasional comments are made about the multivariate case. We totally omit the nowadays hot topic when the number of assets is very large, meaning that this number increases as the frequency increases: this is unfortunately not compatible with a “short” review as this one.
Keywords: Volatility; High-frequency; Microstructure noise; Fourier methods (search for similar items in EconPapers)
JEL-codes: C14 C58 C60 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s10203-019-00253-y Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:decfin:v:42:y:2019:i:2:d:10.1007_s10203-019-00253-y
Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10203/PS2
Access Statistics for this article
Decisions in Economics and Finance is currently edited by Paolo Ghirardato
More articles in Decisions in Economics and Finance from Springer, Associazione per la Matematica
Bibliographic data for series maintained by Sonal Shukla ().