High frequency variability and microstructure bias
File(s)SYKULSKIETAL2.pdf (288.98 KB)
Accepted version
Author(s)
Sykulski, Adam M
Olhede, Sofia C
Pavliotis, Grigoris A
Type
Conference Paper
Abstract
This paper treats the multiscale estimation of integrated volatility of an Itˆo 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 complicated as we allow the noise structure greater flexibility, and properties of the estimation is discussed via a simulation study.
Date Issued
2008
Date Acceptance
2008-05-01
Citation
Proceedings of the Workshop Inference and Estimation in Probabilistic Time-Series Models, 2008, pp.90-97
Start Page
90
End Page
97
Journal / Book Title
Proceedings of the Workshop Inference and Estimation in Probabilistic Time-Series Models
Copyright Statement
© 2008 The Author(s)
Identifier
https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.163.4658&rep=rep1&type=pdf
Source
Workshop on Inference and Estimation in Probabilistic Time-Series Models
Publication Status
Published
Start Date
2008-06-18
Finish Date
2008-06-20
Coverage Spatial
Isaac Newton Institute for Mathematical Sciences, Cambridge, UK
Date Publish Online
2008