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Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
It^o Process Realized Volatility Integrated Volatility Time Endogeneity Market Microstructure Noise
2013/5/2
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, an...
Lower bounds for volatility estimation in microstructure noise models
Brownian motion Variance estimation Kullback-Leibler divergence Minimaxrate Microstructure noise
2010/3/10
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous
volatility if the diffusion type part cannot be observed directly but under
some additional Gaussian noise. ...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatilityestimation Le Cam deficiency equivalence of experiments
2010/3/9
The basic model for high-frequency data in finance is considered,
where an efficient price process is observed under microstructure noise.
It is shown that this nonparametric model is in Le Cam’s se...