| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11380 |
| 来源ID | Working Paper 11380 |
| Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise | |
| Yacine Ait-Sahalia; Per A. Mykland; Lan Zhang | |
| 发表日期 | 2005-05-30 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w11380 |
| 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/569019 |
| 推荐引用方式 GB/T 7714 | Yacine Ait-Sahalia,Per A. Mykland,Lan Zhang. Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise. 2005. |
| 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 | ||
| w11380.pdf（481KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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