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High frequency variability and microstructure bias

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Publication date2008
Number of pages8
Pages90-97
<mark>Original language</mark>English
EventInference and Estimation in Probabilistic Time Series Models -
Duration: 16/06/2008 → 20/06/2008

Conference

ConferenceInference and Estimation in Probabilistic Time Series Models
Period16/06/08 → 20/06/08

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.