Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the volatility function .... As an application, simple rateoptimal estimators of the volatility and efficient estimators of the integrated volatility are constructed.

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Year of publication:	2011
Authors:	Reiß, Markus
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Finanzmarkt \| Volatilität \| Zeitreihenanalyse \| Nichtparametrisches Verfahren \| Schätztheorie \| Mikrostrukturanalyse \| Noise Trading \| Theorie \| high-frequency data \| integrated volatility \| spot volatility estimation \| Le Cam deficiency \| equivalence of experiments \| Gaussian shift

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Series:	SFB 649 Discussion Paper ; 2011-028
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	661170500 [GVK] hdl:10419/56705 [Handle] RePEc:zbw:sfb649:sfb649dp2011-028 [RePEc]
Classification:	C14 - Semiparametric and Nonparametric Methods ; c58
Source:	EconStor

Persistent link: https://www.econbiz.de/10010281553