Integrated volatility and round-off error
Rosenbaum, Mathieu
Bernoulli, Tome 15 (2009) no. 1, p. 687-720 / Harvested from Project Euclid
We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency n, with round-off error αn, of a diffusion on a finite interval. We give from this sample estimators for different forms of the integrated volatility of the asset. Our method is based on variational properties of the process associated with wavelet techniques. We prove that the accuracy of our estimation procedures is αn∨n−1/2. Using compensated estimators, limit theorems are obtained.
Publié le : 2009-08-15
Classification:  diffusion models,  high frequency data,  integrated volatility,  microstructure noise,  round-off error,  variation methods,  wavelets
@article{1251463277,
     author = {Rosenbaum, Mathieu},
     title = {Integrated volatility and round-off error},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 687-720},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1251463277}
}
Rosenbaum, Mathieu. Integrated volatility and round-off error. Bernoulli, Tome 15 (2009) no. 1, pp.  687-720. http://gdmltest.u-ga.fr/item/1251463277/