Estimation of the integrated volatility using noisy high-frequency data with jumps and endogeneity
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2017.1307403
Abstract: ABSTRACT In this paper, we investigate a new estimator of the integrated volatility of Itô semimartingales in the presence of both market microstructure noise and jumps when sampling times are endogenous. In the first step,… read more here.
Keywords: estimation integrated; estimator; integrated volatility; volatility using ... See more keywords
Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
Sign Up to like & getrecommendations! Published in 2017 at "Econometrics"
DOI: 10.3390/econometrics5040051
Abstract: We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS… read more here.
Keywords: volatility; time sampling; business time; time ... See more keywords