Nonparametric Estimation of the Volatility Under Microstructure Noise: Wavelet Adaptation
نویسندگان
چکیده
منابع مشابه
Liquidity-Based Estimation of Stochastic Volatility under Microstructure Noise
Recent literature on realized volatility suggests that the observed price process of an asset may be decomposed into two parts: the genuine (unobservable) price process and microstructure noise. In this article we present a methodology to estimate stochastic volatility by separating these components. Depending on market liquidity, the source of a move in the transaction price of an asset may be...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1661906