Ultra high frequency volatility estimation with dependent microstructure noise
By: Yacine Ait-Sahalia, Per A. Mykland, Lan Zhang.
Contributors: Mykland, Per A.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 11380; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 11380.
Publisher: National Bureau of Economic Research
Published: 2005
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Time-series analysis.
Description: "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 based on multiple time scales, and compare empirically our different estimators to the standard realized volatility"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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Mode of access: World Wide Web.