Local Parametric Estimation in High Frequency Data

Yoann Potiron, Per Mykland

研究成果: Article査読

1 被引用数 (Scopus)

抄録

We give a general time-varying parameter model, where the multidimensional parameter possibly includes jumps. The quantity of interest is defined as the integrated value over time of the parameter process (Formula presented.). We provide a local parametric estimator (LPE) of Θ and conditions under which we can show the central limit theorem. Roughly speaking those conditions correspond to some uniform limit theory in the parametric version of the problem. The framework is restricted to the specific convergence rate n1∕2. Several examples of LPE are studied: estimation of volatility, powers of volatility, volatility when incorporating trading information and time-varying MA(1).

本文言語English
ページ(範囲)679-692
ページ数14
ジャーナルJournal of Business and Economic Statistics
38
3
DOI
出版ステータスPublished - 2020 7 2

ASJC Scopus subject areas

  • 統計学および確率
  • 社会科学(その他)
  • 経済学、計量経済学
  • 統計学、確率および不確実性

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