Estimating spot volatility with high-frequency financial data
We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the estim...
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| Format: | Article |
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Elsevier
2014
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| Online Access: | https://eprints.nottingham.ac.uk/45839/ |
| _version_ | 1848797203982712832 |
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| author | Zu, Yang Boswijk, Peter |
| author_facet | Zu, Yang Boswijk, Peter |
| author_sort | Zu, Yang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the
scale parameter and the bandwidth parameter in the estimator. In Monte Carlo simulations, we compare the finite sample performance of our estimator with some existing estimators. Empirical examples are given to illustrate the potential applications of the estimator. |
| first_indexed | 2025-11-14T20:00:09Z |
| format | Article |
| id | nottingham-45839 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T20:00:09Z |
| publishDate | 2014 |
| publisher | Elsevier |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-458392020-05-04T20:13:49Z https://eprints.nottingham.ac.uk/45839/ Estimating spot volatility with high-frequency financial data Zu, Yang Boswijk, Peter We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the estimator. In Monte Carlo simulations, we compare the finite sample performance of our estimator with some existing estimators. Empirical examples are given to illustrate the potential applications of the estimator. Elsevier 2014-08 Article PeerReviewed Zu, Yang and Boswijk, Peter (2014) Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181 (2). pp. 117-135. ISSN 0304-4076 Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection http://www.sciencedirect.com/science/article/pii/S0304407614000608 doi:10.1016/j.jeconom.2014.04.001 doi:10.1016/j.jeconom.2014.04.001 |
| spellingShingle | Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection Zu, Yang Boswijk, Peter Estimating spot volatility with high-frequency financial data |
| title | Estimating spot volatility with high-frequency financial data |
| title_full | Estimating spot volatility with high-frequency financial data |
| title_fullStr | Estimating spot volatility with high-frequency financial data |
| title_full_unstemmed | Estimating spot volatility with high-frequency financial data |
| title_short | Estimating spot volatility with high-frequency financial data |
| title_sort | estimating spot volatility with high-frequency financial data |
| topic | Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection |
| url | https://eprints.nottingham.ac.uk/45839/ https://eprints.nottingham.ac.uk/45839/ https://eprints.nottingham.ac.uk/45839/ |