Volatility Estimation In The Presence Of Rounding And Random Market Microstructure Noise
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Volatility Estimation In The Presence Of Rounding And Random Market Microstructure Noise
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Author : Yichu Li
language : en
Publisher:
Release Date : 2011
Volatility Estimation In The Presence Of Rounding And Random Market Microstructure Noise written by Yichu Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Capital market categories.
A Unified Approach To Volatility Estimation In The Presence Of Both Rounding And Random Market Microstructure Noise
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Author : Yingying Li
language : en
Publisher:
Release Date : 2017
A Unified Approach To Volatility Estimation In The Presence Of Both Rounding And Random Market Microstructure Noise written by Yingying Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Widely used volatility estimation methods mainly consider one of the following two simple microstructure noise models: random additive noise on log prices, or pure rounding errors. Apparently in real data these two types of noise co-exist. In this paper, we discover a common feature of these two types of noise and propose a unified volatility estimation approach in the presence of both rounding and random noise. Our data-driven method enjoys superior properties in terms of bias and convergence rate. We establish feasible central limit theorems and show their superior performance via simulations. Empirical studies show clear advantages of our method when applied to both stocks data and currency exchange data.
On The Estimation Of Integrated Volatility In The Presence Of Jumps And Microstructure Noise
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Author : Christian T. Brownlees
language : en
Publisher:
Release Date : 2019
On The Estimation Of Integrated Volatility In The Presence Of Jumps And Microstructure Noise written by Christian T. Brownlees and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This paper is concerned with the problem of the estimation of the integrated volatility of log-prices based on high frequency data when both price jumps and market microstructure noise are present. We begin by providing a survey of the leading estimators introduced in the literature to tackle volatility estimation in this setting. We then introduce novel integrated volatility estimators based on a truncation technique and establish their properties. Finally, we carry out a simulation study to compare the performance of the di erent estimation techniques.
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise
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Author : Yacine Ait-Sahalia
language : en
Publisher:
Release Date : 2010
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise written by Yacine Ait-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
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.
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise
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Author : Yacine Aït-Sahalia
language : de
Publisher:
Release Date : 2005
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise written by Yacine Aït-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Assets (Accounting) categories.
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.
Estimation Of Asset Volatility And Correlation Over Market Microstructure Noise In High Frequency Data
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Author : Roman Yevstihnyeyev
language : en
Publisher:
Release Date : 2015
Estimation Of Asset Volatility And Correlation Over Market Microstructure Noise In High Frequency Data written by Roman Yevstihnyeyev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Accurate measurement of asset return volatility and correlation is an important problem in financial econometrics. The presence of market microstructure noise in high-frequency data complicates such estimations. This study extends a prior application of a model-based volatility estimator with autocorrelated market microstructure noise to estimation of correlation. The model is applied to a high-frequency dataset including a stock and an index, and the results are compared to some existing models. This study supports previous findings that including an autocorrelation factor produces an estimator potentially less vulnerable to market microstructure noise, and finds that the same is true about the extended correlation estimator that is introduced here.
Essays In Volatility Estimation Based On High Frequency Data
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Author : Yucheng Sun
language : en
Publisher:
Release Date : 2017
Essays In Volatility Estimation Based On High Frequency Data written by Yucheng Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Based on high-frequency price data, this thesis focuses on estimating the realized covariance and the integrated volatility of asset prices, and applying volatility estimation to price jump detection. The first chapter uses the LASSO procedure to regularize some estimators of high dimensional realized covariance matrices. We establish theoretical properties of the regularized estimators that show its estimation precision and the probability that they correctly reveal the network structure of the assets. The second chapter proposes a novel estimator of the integrated volatility which is the quadratic variation of the continuous part in the price process. This estimator is obtained by truncating the two-scales realized variance estimator. We show its consistency in the presence of market microstructure noise and finite or infinite activity jumps in the price process. The third chapter employs this estimator to design a test to explore the existence of price jumps with noisy price data.
High Frequency Volatility Of Volatility Estimation Free From Spot Volatility Estimates
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Author : Simona Sanfelici
language : en
Publisher:
Release Date : 2015
High Frequency Volatility Of Volatility Estimation Free From Spot Volatility Estimates written by Simona Sanfelici and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
We define a new consistent estimator of the integrated volatility of volatility based only on a pre-estimation of the Fourier coefficients of the volatility process. We investigate the finite sample properties of the estimator in the presence of noise contamination by computing the bias of the estimator due to noise and showing that it vanishes as the number of observations increases, under suitable assumptions. In both simulated and empirical studies, the performance of the Fourier estimator with high frequency data is investigated and it is shown that the proposed estimator of volatility of volatility is easily implementable, computationally stable and even robust to market microstructure noise.
Assessing The Impact Of Market Microstructure Noise And Random Jumps On The Relative Forecasting Performance Of Option Implied And Returns Based Volatility
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Author : Gael Margaret Martin
language : en
Publisher:
Release Date : 2006
Assessing The Impact Of Market Microstructure Noise And Random Jumps On The Relative Forecasting Performance Of Option Implied And Returns Based Volatility written by Gael Margaret Martin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Options (Finance) categories.
Decimalization Realized Volatility And Market Microstructure Noise
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Author : Tommi A. Vuorenmaa
language : en
Publisher:
Release Date : 2011
Decimalization Realized Volatility And Market Microstructure Noise written by Tommi A. Vuorenmaa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
This paper carefully examines the effect of decimalization on volatility and market microstructure noise. We apply several nonparametric estimators in order to accurately measure volatility and market microstructure noise variance before and after the final stage of decimalization which, on the NYSE, took place in January, 2001. We findn that decimalization decreased observed volatility by decreasing noise variance and, consequently, increased the significance of the true signal especially in trade price data for the highly active Dow Jones stocks. This study also reveals some differences between volatility and noise variance estimators' capability to handle changes in tick size and strategic order placing that are relevant in the evaluation of the decimalization effects. The ability of the realized kernel estimator to adapt to more complex data dependency than the traditional realized volatility estimator is useful. The two-scale and multi-scale realized volatility estimates turn out to be more variable especially with midquote data where a couple of outlying dates affect their volatility estimates and consequently the test results in a significant way.