The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
复制标题
两种尺度估计的代数和 S-TSRV：对采样时间具有鲁棒性的高频估计
DOI：
10.1016/j.jeconom.2018.09.007
复制
发表时间：
2019
影响因子：
6.3
通讯作者：
Chen, Dachuan
中科院分区：
文献类型：
--
作者：
Mykland, Per A.;Zhang, Lan;Chen, Dachuan
本文给出了高频数据双尺度估计的一个新的代数性质，在此性质下，采样次数的影响被消除到高阶。这是双尺度构造的一个特殊的鲁棒性。一般来说，不规则的，异步的，或内生的时间可能会导致问题的估计基于等距观察（交易或报价）时间。新的代数性质可以结合预平均，产生平滑的两尺度已实现波动率（S-TSRV）。我们推导出一个有限样本的解决方案，以控制边缘效应和处理不规则的和内源性的观察时间和异步观察的多变量数据。在这方面的发展，我们使用的代数方法来定义一个版本的S-TSRV具有特别小的边缘效应的微结构噪声。本文的主要结果是表示的统计误差的估计在简单的组件。作为这种表示的应用，本文发展了多元波动率估计的中心极限理论。该方法还可以处理信号过程中的超前和滞后。
In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the effect of sampling times is canceled to high order. This is a particular robustness property of the two scales construction. In general, irregular, asynchronous, or endogenous times can cause problems in estimators based on equidistant observation of (trade or quote) times.The new algebraic property can be combined with pre-averaging, giving rise to thesmoothed two-scales realized volatility (S-TSRV). We derive a finite sample solution to controlling edge effects and for handling irregular and endogenous observation times and asynchronously observed multivariate data. In connection with this development, we use the algebraic approach to define a version of the S-TSRV which has particularly small edge effect in microstructure noise. The main result of the paper is a representation of the statistical error of the estimator in terms of simple components. As an application of this representation, the paper develops a central limit theory for multivariate volatility estimators. The approach can also handle leads and lags in the signal process.