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Document type:
Zeitungsartikel 
Author(s):
Carsten Chong, Thomas Delerue, Guoying Li 
Title:
Mixed semimartingales: Volatility estimation in the presence of rough noise 
Abstract:
We consider the problem of estimating volatility based on high-frequency data when the observed price process is a continuous Itô semimartingale contaminated by microstructure noise. Assuming that the noise process is compatible across different sampling frequencies, we argue that it typically has a similar local behavior to fractional Brownian motion. For the resulting class of processes, which we call mixed semimartingales, we derive consistent estimators and asymptotic confidence interval...    »
 
Keywords:
Central limit theorem, fractional noise, high-frequency data, Hurst parameter, market microstructure noise, mixed fractional Brownian 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2021 
Year / month:
2021-12 
Quarter:
4. Quartal 
Month:
Dec 
Language:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text