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Estimation of spot volatility with superposed noisy data
Liu, Qiang1; Liu, Yiqi1; Liu, Zhi1,2; Wang, Li1
2018-04
Source PublicationNORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE
ISSN1062-9408
Volume44Pages:62-79
Abstract

By using high frequency financial data, we nonparametrically estimate the spot volatility at any given time point, while the simultaneous presence of multiple transactions and market microstructure noise in the observation procedure are considered. Our estimator is based on the summation of the locally ranged increments, while kernel smoothing give us spot volatility. Besides, the microstructure noise can be estimated and removed, if it is modeled as bid-ask spread, which is a frequently used assumption. The consistency and asymptotic normality of the estimator are established. We do some simulation studies to assess the finite sample performance of our estimator. The estimator is also applied to some real data sets, further, the relationship between multiple records and spot volatility is also explored.

KeywordHigh Frequency Financial Data Spot Volatility Range-based Estimation Kernel Estimate Multiple Records Microstructure Noise Central Limit Theorem
DOI10.1016/j.najef.2017.11.004
URLView the original
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000429499400005
PublisherELSEVIER SCIENCE INC
The Source to ArticleWOS
Fulltext Access
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Cited Times [WOS]:1   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Health Sciences
DEPARTMENT OF MATHEMATICS
Affiliation1.Univ Macau, Dept Math, Taipa, Macau Sar, Peoples R China
2.UMacau Zhuhai Res Inst, Zhuhai, Peoples R China
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Liu, Qiang,Liu, Yiqi,Liu, Zhi,et al. Estimation of spot volatility with superposed noisy data[J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,2018,44:62-79.
APA Liu, Qiang,Liu, Yiqi,Liu, Zhi,&Wang, Li.(2018).Estimation of spot volatility with superposed noisy data.NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE,44,62-79.
MLA Liu, Qiang,et al."Estimation of spot volatility with superposed noisy data".NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE 44(2018):62-79.
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