A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise

doi:10.1016/j.jeconom.2017.11.006

CORC > 上海财经大学 > 上海财经大学

	A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
	Li, Yingying 1; Zhang, Zhiyuan 2; Li, Yichu 3
刊名	JOURNAL OF ECONOMETRICS
	2018-04
卷号	203 期号:2 页码:187-222
关键词	High-frequency data Rounding errors Market microstructure noise Integrated volatility Realized volatility
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2017.11.006
英文摘要	Widely used volatility estimation methods mainly consider one of the following two simple microstructure noise models: random additive noise on log prices, or pure rounding errors. Apparently in real data these two types of noise co-exist. In this paper, we discover a common feature of these two types of noise and propose a unified volatility estimation approach in the presence of both rounding and random noise. Our data-driven method enjoys superior properties in terms of bias and convergence rate. We establish feasible central limit theorems and show their superior performance via simulations. Empirical studies show clear advantages of our method when applied to both stocks data and currency exchange data. (C) 2017 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000428492800001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/649]
专题	上海财经大学
通讯作者	Zhang, Zhiyuan
作者单位	1.Hong Kong Univ Sci & Technol, Hong Kong, Hong Kong, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, 777 Guoding Rd, Shanghai 200433, Peoples R China; 3.Investment Technol Grp, New York, NY USA
推荐引用方式 GB/T 7714	Li, Yingying,Zhang, Zhiyuan,Li, Yichu. A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise[J]. JOURNAL OF ECONOMETRICS,2018,203(2):187-222.
APA	Li, Yingying,Zhang, Zhiyuan,&Li, Yichu.(2018).A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise.JOURNAL OF ECONOMETRICS,203(2),187-222.
MLA	Li, Yingying,et al."A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise".JOURNAL OF ECONOMETRICS 203.2(2018):187-222.