High Frequency Variability and Microstructure Bias
High Frequency Variability and Microstructure Bias
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.
90-97
Sykulski, A.M.
687d5481-dc05-44c6-af21-2452c135394f
Olhede, S.C.
b0f12dd2-270c-440e-8c01-86a2f36c390e
Pavliotis, G.A.
2041971d-67c4-4cb0-88c9-c7b2443f59d7
Sykulski, A.M.
687d5481-dc05-44c6-af21-2452c135394f
Olhede, S.C.
b0f12dd2-270c-440e-8c01-86a2f36c390e
Pavliotis, G.A.
2041971d-67c4-4cb0-88c9-c7b2443f59d7
Sykulski, A.M., Olhede, S.C. and Pavliotis, G.A.
(2008)
High Frequency Variability and Microstructure Bias.
Inference and Estimation in Probabilistic Time-Series Models, Isaac Newton Institute for Mathematical Sciences, Cambridge., United Kingdom.
18 - 20 Jun 2008.
.
(In Press)
Record type:
Conference or Workshop Item
(Other)
Abstract
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.
Other
SYKULSKIETAL5.PDF
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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, Isaac Newton Institute for Mathematical Sciences, Cambridge., 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
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Date deposited: 18 Mar 2010 16:38
Last modified: 14 Mar 2024 09:14
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Contributors
Author:
A.M. Sykulski
Author:
S.C. Olhede
Author:
G.A. Pavliotis
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