Microstructure Noise in the Continuous Case: The Pre-Averaging Approach ∗
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In this article, a generalized pre-averaging approach for estimating the integrated volatility is presented, which can generate rate optimal estimators with convergence rate n 1/4. But the convergence rate is not guaranteed.About:
This article is published in Stochastic Processes and their Applications.The article was published on 2009-07-01 and is currently open access. It has received 525 citations till now. The article focuses on the topics: Stochastic volatility & Estimator.read more
Citations
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Realized skewness at high frequency and link to conditional market premium
Zhi Liu,Kent Wang,Junwei Liu +2 more
TL;DR: In this article, a reliable new estimator for realized skewness which is robust to microstructure noise at ultra-high frequency level was proposed and applied to tick data of the S&P 500 index for forecasting equity premium in the U.S. market from 1990-2011.
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Rate-optimal estimation of mixed semimartingales
TL;DR: In this paper , a general class of processes called mixed semimartingales with correlation was introduced, which are semiparametric extensions of Y with stochastic volatility in both the martingale and the fractional component.
Posted Content
A continuous and efficient fundamental price on the discrete order book grid
TL;DR: In this article, the authors developed a model of liquidity provision in financial markets by adapting the Madhavan, Richardson, and Roomans (1997) price formation model to realistic order books with quote discretization and liquidity rebates.
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Nonlinear and time-varying risk premia
Chaoqun Ma,Xianhua Mi,Zongwu Cai +2 more
TL;DR: In this paper, the authors proposed a new model for risk premia to capture nonlinear and time-varying features under the influence of trading volume for the US stock market in Wharton Research Data Services' Trade and Quote database.
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Rate efficient estimation of realized Laplace transform of volatility with microstructure noise
Li Wang,Zhi Liu,Xiaochao Xia +2 more
TL;DR: In this paper, the authors considered the problem of estimating the Laplace transform of volatility within a fixed time interval [0,T ] using high-frequency sampling, where they assume that the discretized observations of the latent process are contaminated by microstructure noise.
References
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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
TL;DR: In this paper, a closed-form solution for the price of a European call option on an asset with stochastic volatility is derived based on characteristi c functions and can be applied to other problems.
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Limit Theorems for Stochastic Processes
Jean Jacod,Albert N. Shiryaev +1 more
TL;DR: In this article, the General Theory of Stochastic Processes, Semimartingales, and Stochastically Integrals is discussed and the convergence of Processes with Independent Increments is discussed.
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Answering the skeptics: yes, standard volatility models do provide accurate forecasts*
TL;DR: In this article, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models and it has been shown that volatility models produce strikingly accurate inter-daily forecasts for the latent volatility factor that would be of interest in most financial applications.
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Modeling and forecasting realized volatility
TL;DR: In this article, the authors provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions.
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A Simple Implicit Measure of the Effective Bid‐Ask Spread in an Efficient Market
TL;DR: In this article, the effective bid-ask spread is measured by Spread = 2−cov where cov is the first-order serial covariance of price changes, and is shown empirically to be closely related to firm size.