Leung, Tim; Zhao, Theodore - In: Risks : open access journal 11 (2023) 7, pp. 1-20
framework includes a fractional Brownian motion and microstructure noise as the building blocks. The proposed noisy fractional … for the noisy fractional Brownian motion model. Using real-world high-frequency price data for a collection of U.S. stocks … and ETFs, we estimate the parameters in the noisy fractional Brownian motion and illustrate how the volatility varies over …