Microstructure noise in the continuous case: the pre-averaging approach

Jean Jacod, Yingying Li, Per A. Mykland, Mark Podolskij () and Mathias Vetter

No 2007,41, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).

Keywords: consistency; continuity; discrete observation; Itô process; leverage effect; pre-averaging; quarticity; realized volatility; stable convergence (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (21)

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Related works:
Journal Article: Microstructure noise in the continuous case: The pre-averaging approach (2009)
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