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Rate efficient estimation of realized Laplace transform of volatility with microstructure noise
Li Wang1; Zhi Liu1; Xiaochao Xia2
2019-09
Source PublicationSCANDINAVIAN JOURNAL OF STATISTICS
ISSN0303-6898
Volume46Issue:3Pages:920-953
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 use 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 urn:x-wiley:sjos:media:sjos12365:sjos12365-math-0001, which is known as the optimal convergence rate of the estimation of integrated volatility functionals under the 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
DOI10.1111/sjos.12365
Indexed BySCIE ; SSCI
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000479058100011
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Document TypeJournal article
CollectionFaculty of Science and Technology
Faculty of Health Sciences
Corresponding AuthorZhi Liu
Affiliation1.Department of Mathematics, Faculty of Science and Technology, University of Macau, Taipa, Macau
2.College of Science, Huazhong Agricultural University, Wuhan, China
First Author AffilicationFaculty of Science and Technology
Corresponding Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Li Wang,Zhi Liu,Xiaochao Xia. Rate efficient estimation of realized Laplace transform of volatility with microstructure noise[J]. SCANDINAVIAN JOURNAL OF STATISTICS,2019,46(3):920-953.
APA Li Wang,Zhi Liu,&Xiaochao Xia.(2019).Rate efficient estimation of realized Laplace transform of volatility with microstructure noise.SCANDINAVIAN JOURNAL OF STATISTICS,46(3),920-953.
MLA Li Wang,et al."Rate efficient estimation of realized Laplace transform of volatility with microstructure noise".SCANDINAVIAN JOURNAL OF STATISTICS 46.3(2019):920-953.
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