| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10111 |
| 来源ID | Working Paper 10111 |
| A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data | |
| Lan Zhang; Per A. Mykland; Yacine Ait-Sahalia | |
| 发表日期 | 2003-11-17 |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | 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. This work attempts to lay out theoretical grounds that reconcile continuous-time modeling and discrete-time samples. We propose an estimation approach that takes advantage of the rich sources in tick-by-tick data while preserving the continuous-time assumption on the underlying returns. Under our framework, it becomes clear why and where the usual' volatility estimator fails when the returns are sampled at the highest frequency. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w10111 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/567739 |
| 推荐引用方式 GB/T 7714 | Lan Zhang,Per A. Mykland,Yacine Ait-Sahalia. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w10111.pdf（286KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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