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A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data

It is a common practice in finance to estimate volatility from the sum of frequently sampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. The present work attempts to lay out theoretical grounds... Full description

1st Person: Zhang, Lan
Additional Persons: Mykland, Per A. verfasserin; Aït-Sahalia, Yacine verfasserin
Source: in Journal of the American Statistical Association : JASA : the premier journal of statistical science Vol. 100, No. 472 (2005), p. 1394-1411
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Type of Publication: Article
Language: English
Published: 2005
Keywords: research-article
Bias-correction
Market microstructure
Martingale
Measurement error
Realized volatility
Subsampling
Online: Volltext
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