Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9
CREATES Research Paper 2007-43
32 Pages Posted: 24 Jun 2008 Last revised: 20 May 2010
Date Written: December 10, 2007
This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility - in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).
Keywords: consistency, continuity, discrete observation, Itý process, leverage effect, pre-averaging, quarticity, realized volatility, stable convergence
JEL Classification: C10, C13, C14
Suggested Citation: Suggested Citation