High frequency variability and microstructure bias

Sykulski, Adam and Olhede, Sofia Charlotta and Pavliotis, G. A. (2008) High frequency variability and microstructure bias. In: Inference and Estimation in Probabilistic Time Series Models, 2008-06-162008-06-20.

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Abstract

This paper treats the multiscale estimation of the integrated volatility of an Ito process immersed in high-frequency correlated noise. The multiscale structure of the problem is modelled explicitly, and the multiscale ratio is used to quantify energy contributions from the noise, estimated using the Whittle likelihood. This problem becomes more complex as we allow the noise structure greater flexibility, and multiscale properties of the estimation are discussed via a simulation study.

Item Type:
Contribution to Conference (Paper)
Journal or Publication Title:
Inference and Estimation in Probabilistic Time Series Models
ID Code:
87338
Deposited By:
Deposited On:
14 Aug 2017 09:06
Refereed?:
Yes
Published?:
Published
Last Modified:
27 Oct 2020 01:49