Book/Printed Material Ultra high frequency volatility estimation with dependent microstructure noise

Title

• Ultra high frequency volatility estimation with dependent microstructure noise

Summary

• "We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility"--National Bureau of Economic Research web site.

Names

• Aït-Sahalia, Yacine
• Mykland, Per A. (Per Aslak)
• National Bureau of Economic Research

Created / Published

• Cambridge, MA : National Bureau of Economic Research, c2005.

Headings

• -  Time-series analysis

Notes

• -  Title from PDF file as viewed on 6/30/2005.
• -  Includes bibliographical references.
• -  Also available in print.
• -  Mode of access: World Wide Web.
• -  System requirements: Adobe Acrobat Reader.

Call Number/Physical Location

• HB1

Digital Id

• https://hdl.loc.gov/loc.gdc/gdcebookspublic.2005618273
• http://papers.nber.org/papers/w11380 External

Library of Congress Control Number

• 2005618273

Access Advisory

• Unrestricted online access

Online Format

• image
• pdf

LCCN Permalink

• https://lccn.loc.gov/2005618273

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• MODS Record
• Dublin Core Record