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High frequency variability and microstructure bias

Research output: Contribution to conference - Without ISBN/ISSN › Conference paper › peer-review

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High frequency variability and microstructure bias. / Sykulski, Adam; Olhede, Sofia Charlotta; Pavliotis, G. A.
2008. 90-97 Paper presented at Inference and Estimation in Probabilistic Time Series Models.

Research output: Contribution to conference - Without ISBN/ISSN › Conference paper › peer-review

Harvard

Sykulski, A, Olhede, SC & Pavliotis, GA 2008, 'High frequency variability and microstructure bias', Paper presented at Inference and Estimation in Probabilistic Time Series Models, 16/06/08 - 20/06/08 pp. 90-97.

APA

Sykulski, A., Olhede, S. C., & Pavliotis, G. A. (2008). High frequency variability and microstructure bias. 90-97. Paper presented at Inference and Estimation in Probabilistic Time Series Models.

Vancouver

Sykulski A, Olhede SC, Pavliotis GA. High frequency variability and microstructure bias. 2008. Paper presented at Inference and Estimation in Probabilistic Time Series Models.

Author

Sykulski, Adam ; Olhede, Sofia Charlotta ; Pavliotis, G. A. / High frequency variability and microstructure bias. Paper presented at Inference and Estimation in Probabilistic Time Series Models.8 p.

Bibtex

@conference{c69173d31252466995542a7d5f58eacd,
title = "High frequency variability and microstructure bias",
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.",
author = "Adam Sykulski and Olhede, {Sofia Charlotta} and Pavliotis, {G. A.}",
year = "2008",
language = "English",
pages = "90--97",
note = "Inference and Estimation in Probabilistic Time Series Models ; Conference date: 16-06-2008 Through 20-06-2008",

}

RIS

TY - CONF

T1 - High frequency variability and microstructure bias

AU - Sykulski, Adam

AU - Olhede, Sofia Charlotta

AU - Pavliotis, G. A.

PY - 2008

Y1 - 2008

N2 - 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.

AB - 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.

M3 - Conference paper

SP - 90

EP - 97

T2 - Inference and Estimation in Probabilistic Time Series Models

Y2 - 16 June 2008 through 20 June 2008

ER -