Sykulski, A.M., Olhede, S.C. and Pavliotis, G.A.
High Frequency Variability and Microstructure Bias
At Inference and Estimation in Probabilistic Time-Series Models, United Kingdom.
18 - 20 Jun 2008.
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.
Conference or Workshop Item
||Event Dates: 18th-20th June 2008
|Venue - Dates:
||Inference and Estimation in Probabilistic Time-Series Models, United Kingdom, 2008-06-18 - 2008-06-20
||Electronics & Computer Science
|29 May 2008||Accepted/In Press|
||18 Mar 2010 16:38
||17 Apr 2017 18:30
|Further Information:||Google Scholar|
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