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High Frequency Variability and Microstructure Bias

Record type: Conference or Workshop Item (Other)

This paper treats the multiscale estimation of the integrated volatility of an Ito process immersed in high-frequency correlated noise. The multiscale structure of the problem is modelled explicitly, and the multiscale ratio is used to quantify energy contributions from the noise, estimated using the Whittle likelihood. This problem becomes more complex as we allow the noise structure greater flexibility, and multiscale properties of the estimation are discussed via a simulation study.

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Citation

Sykulski, A.M., Olhede, S.C. and Pavliotis, G.A. (2008) High Frequency Variability and Microstructure Bias At Inference and Estimation in Probabilistic Time-Series Models, United Kingdom. 18 - 20 Jun 2008. , pp. 90-97.

More information

Accepted/In Press date: 29 May 2008
Additional Information: Event Dates: 18th-20th June 2008
Venue - Dates: Inference and Estimation in Probabilistic Time-Series Models, United Kingdom, 2008-06-18 - 2008-06-20
Organisations: Electronics & Computer Science

Identifiers

Local EPrints ID: 268757
URI: http://eprints.soton.ac.uk/id/eprint/268757
PURE UUID: 58d8fd12-b211-4991-91df-c5fd78cc072e

Catalogue record

Date deposited: 18 Mar 2010 16:38
Last modified: 18 Jul 2017 06:51

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Contributors

Author: A.M. Sykulski
Author: S.C. Olhede
Author: G.A. Pavliotis

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