Volatility inference in the presence of both endogenous time and microstructure noise
Volatility inference in the presence of both endogenous time and microstructure noise
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DOI：
10.1016/j.spa.2013.04.002
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发表时间：
2013-07-01
影响因子：
1.4
通讯作者：
Zheng, Xinghua
中科院分区：
文献类型：
--
作者：
Li, Yingying;Zhang, Zhiyuan;Zheng, Xinghua
在这篇文章中，我们考虑的波动性推断同时存在市场微观结构噪声和内生时间。在这样一个设置的综合波动率的估计，并研究其渐近性质。我们提出的估计与现有的流行的波动率估计通过数值研究进行了比较。结果表明，我们的估计器可以有更好的性能时，时间endoorthogonal存在。(c)2013爱思唯尔有限公司版权所有。
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing popular volatility estimators via numerical studies. The results show that our estimator can have substantially better performance when time endogeneity exists. (c) 2013 Elsevier B.V. All rights reserved.