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Title:

Mixed semimartingales: Volatility estimation in the presence of rough noise

Document type:
Zeitungsartikel
Author(s):
Chong, Carsten; Delerue, Thomas; Li, Guoying
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
Status:
Preprint / submitted
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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