Multi-scale jump and volatility analysis for high-frequency financial data

doi:10.1198/016214507000001067

CORC > 上海财经大学 > 上海财经大学

	Multi-scale jump and volatility analysis for high-frequency financial data
	Fan, Jianqing ; Wang, Yazhen
刊名	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
	2007-12
卷号	102 期号:480 页码:1349-1362
关键词	diffusion integrated volatility jump variation market microstructure noise wavelets
ISSN号	0162-1459
DOI	10.1198/016214507000001067
英文摘要	The wide availability of high-frequency data for many financial instruments stimulates an upsurge interest in statistical research on the estimation of volatility. Jump-diffusion processes observed with market microstructure noise are frequently used to model high-frequency financial data. Yet existing methods are developed for either noisy data from a continuous-diffusion price model or data from a jump-diffusion price model without noise. We propose methods to cope with both jumps in the price and market microstructure noise in the observed data. These methods allow us to estimate both integrated volatility and jump variation from the data sampled from jump-diffusion price processes, contaminated with the market microstructure noise. Our approach is to first remove jumps from the data and then apply noise-resistant methods to estimate the integrated volatility. The asymptotic analysis and the simulation study reveal that the proposed wavelet methods can successfully remove the jumps in the price processes and the integrated volatility can be estimated as accurately as in the case with no presence of jumps in the price processes. In addition, they have outstanding statistical efficiency. The methods are illustrated by applications to two high-frequency exchange rate data sets.
WOS研究方向	Mathematics
语种	英语
出版者	AMER STATISTICAL ASSOC
WOS记录号	WOS:000251829200029
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2579]
专题	上海财经大学
通讯作者	Fan, Jianqing
作者单位	1.Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA; 2.Shanghai Univ Finance & Econ, Dept Stat, Shanghai, Peoples R China; 3.Univ Connecticut, Dept Stat, Storrs, CT 06269 USA; 4.Shanghai Univ Finance & Econ, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Fan, Jianqing,Wang, Yazhen. Multi-scale jump and volatility analysis for high-frequency financial data[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2007,102(480):1349-1362.
APA	Fan, Jianqing,&Wang, Yazhen.(2007).Multi-scale jump and volatility analysis for high-frequency financial data.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,102(480),1349-1362.
MLA	Fan, Jianqing,et al."Multi-scale jump and volatility analysis for high-frequency financial data".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 102.480(2007):1349-1362.