Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
Statistical Finance
2013-03-26 v1 Statistics Theory
Statistics Theory
Abstract
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, and their asymptotic properties are studied. Our proposed estimator is compared with the existing popular volatility estimators via numerical studies. The results show that our estimator can have substantially better performance when time endogeneity exists.
Keywords
Cite
@article{arxiv.1303.5809,
title = {Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise},
author = {Yingying Li and Zhiyuan Zhang and Xinghua Zheng},
journal= {arXiv preprint arXiv:1303.5809},
year = {2013}
}