Asymptotics of realized volatility with non-Gaussian ARCH(∞) microstructure noise

Hiroyuki Taniai, Takashi Usami, Nobuyuki Suto, Masanobu Taniguchi

研究成果: Article

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In order to estimate the conditional variance of some specific day, the sum of squared intraday returns, as known as "realized volatility" (RV) or "realized variance," is often used. Although this estimator does not converge to the true volatility when the observed price involves market microstructure noise, some subsample-based estimator is known to resolve this problem. In this paper, we will study the asymptotics of this estimator, assuming that market microstructure noise follows a non-Gaussian autoregressive conditional heteroskedastic model of order ∞ (ARCH(∞)). There we elucidate the asymptotics of RV and subsample estimator, which are influenced by the non-Gaussianity and dependent structure of the noise. Some numerical studies are given, and they illuminate interesting features of the asymptotics.

元の言語English
記事番号nbs005
ページ(範囲)617-636
ページ数20
ジャーナルJournal of Financial Econometrics
10
発行部数4
DOI
出版物ステータスPublished - 2012 9 1

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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