Estimating spot volatility with high-frequency financial data

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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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Bibliographic Details
Main Authors:	Zu, Yang, Boswijk, Peter
Format:	Article
Published:	Elsevier 2014
Subjects:	Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection
Online Access:	https://eprints.nottingham.ac.uk/45839/

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