Central limit theorem for the realized volatility based on tick time sampling
Central limit theorem for the realized volatility based on tick time sampling
复制标题
基于刻度时间采样的已实现波动率的中心极限定理
DOI：
10.1007/s00780-008-0087-3
复制
发表时间：
2010
影响因子：
1.7
通讯作者：
M. Fukasawa
中科院分区：
文献类型：
--
作者：
M. Fukasawa
证明了基于特定随机抽样方案的综合波动率的已实现波动率估计的中心极限定理，其中价格是在买入或卖出报价数据中的每一个“连续价格变化”中抽样的。该估计被证明是强大的市场微观结构噪声引起的价格离散性和买卖价差。更一般的抽样方案也处理的情况下，价格过程是一个扩散。
A central limit theorem for the realized volatility estimator of the integrated volatility based on a specific random sampling scheme is proved, where prices are sampled with every ‘continued price change’ in bid or ask quotation data. The estimator is shown to be robust to market microstructure noise induced by price discreteness and bid–ask spreads. More general sampling schemes also are treated in case that the price process is a diffusion.