Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
نویسندگان
چکیده
منابع مشابه
Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach
With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed asset returns contain error or noise, for example, in the form of microstructure noise. The former (consistency) has been addressed heavily in the recent liter...
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Volatility is the primary measure of risk in modern finance and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency analyses. High-frequency prices carry a significant amount of noise. Therefore, there are two volatility components embedded in the returns constructed using high frequency prices: the...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2006
ISSN: 1350-7265
DOI: 10.3150/bj/1165269149