Efficient asymptotic variance reduction when estimating volatility in high frequency data

Simon Clinet, Yoann Potiron

研究成果: Article査読

7 被引用数 (Scopus)

抄録

This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK) from Barndorff-Nielsen et al. (2008) and the quasi-maximum likelihood estimator (QMLE) studied in Xiu (2010). To obtain such a reduction, we chop the data into B blocks, compute the RK (or QMLE) on each block, and aggregate the block estimates. The ratio of asymptotic variance over the bound of asymptotic efficiency converges as B increases to the ratio in the parametric version of the problem, i.e. 1.0025 in the case of the fastest RK Tukey-Hanning 16 and 1 for the QMLE. The impact of stochastic sampling times and jump in the price process is examined carefully. The finite sample performance of both estimators is investigated in simulations, while empirical work illustrates the gain in practice.

本文言語English
ページ(範囲)103-142
ページ数40
ジャーナルJournal of Econometrics
206
1
DOI
出版ステータスPublished - 2018 9

ASJC Scopus subject areas

  • 経済学、計量経済学

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