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Realized Laplace Transform of Volatility with Microstructure Noise
Li Wang1; Zhi Liu1; Xiaochao Xia2
2018-03-08
Source PublicationScandinavian Journal of Statistics
ISSN1467-9469
Abstract

In this paper, we consider the problem of estimating the Laplace transform of volatility within a fixed time interval [0, T] using high frequency sampling, where we assume that the discretized observations of the latent process are contaminated by microstructure noise. We employ the pre-averaging approach to deal with the effect of microstructure noise. Under the high frequency scenario, we obtain a consistent estimator whose convergence rate is ∆−1/4 n , which is known as the optimal convergence rate of the estimation of integrated volatility functionals under presence of microstructure noise. The related central limit theorem is established. The simulation studies justify the finite sample performance of the proposed estimator.

KeywordHigh-frequency Data Stable Convergence Laplace Transform Of Volatility Microstructure Noise Pre-averaging
DOIhttp://dx.doi.org/10.2139/ssrn.2873652
Language英语
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Document TypeJournal article
CollectionFaculty of Science and Technology
DEPARTMENT OF MATHEMATICS
Corresponding AuthorZhi Liu
Affiliation1.University of Macau
2.Huazhong Agricultural University
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Li Wang,Zhi Liu,Xiaochao Xia. Realized Laplace Transform of Volatility with Microstructure Noise[J]. Scandinavian Journal of Statistics,2018.
APA Li Wang,Zhi Liu,&Xiaochao Xia.(2018).Realized Laplace Transform of Volatility with Microstructure Noise.Scandinavian Journal of Statistics.
MLA Li Wang,et al."Realized Laplace Transform of Volatility with Microstructure Noise".Scandinavian Journal of Statistics (2018).
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