Frequency Domain Estimation of Integrated Volatility for Ito Processes in the Presence of Market-Microstructure Noise
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in the presence of market microstructure noise (observation error). The multiscale structure of the observed process is represented frequency by frequency, and the concept of the multiscale ratio is intr...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
2009-12-09.
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| Subjects: | |
| Online Access: | Get fulltext |