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Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise / Yacine Ait-Sahalia, Per A. Mykland, Lan Zhang.
- Format:
- Book
- Author/Creator:
- Ait-Sahalia, Yacine.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w11380.
- NBER working paper series no. w11380
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2005.
- Summary:
- 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.
- Notes:
- Print version record
- May 2005.
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