Abstract Details
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Activity Number:
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272
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Type:
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Invited
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Date/Time:
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Tuesday, August 5, 2014 : 8:30 AM to 10:20 AM
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Sponsor:
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JBES-Journal of Business & Economic Statistics
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Abstract #314107
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View Presentation
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Title:
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On the Estimation of Integrated Volatility with Jumps and Microstructure Noises
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Author(s):
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Bing-Yi Jing*+
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Companies:
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HKUST
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Keywords:
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High frequency data ;
Microstructure noise ;
Quadratic variation ;
Central limit theorem
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Abstract:
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In this talk, we propose a nonparametric procedure to estimate the integrated volatility of Ito semimartingale in the presence of jumps and microstructure noise. The estimator is based on a combination of the preaveraging method and threshold technique, which serve to remove microstructure noise and jumps, respectively. The estimator is shown to work for both finite and infinite activity jumps. Furthermore, asymptotic properties of the proposed estimator, such as consistency and central limit theorem, are established. Simulations results are given to evaluate the performance of the proposed method in comparison with other alternative methods.
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Authors who are presenting talks have a * after their name.
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