Estimating the Volatility Functionals with Multiple Transactions

32 Pages Posted: 21 Jan 2015

See all articles by Bingyi Jing

Bingyi Jing

Hong Kong University of Science & Technology (HKUST)

Zhi Liu

University of Macau

Xinbing Kong

Soochow University

Date Written: January 21, 2015

Abstract

The phenomenon of multiple transactions at each recording time is a common occurrence for high frequency financial data, due to heavy trading of the market and limitation of the recording mechanism. The situation has existed for a long time, but is getting more common in recent years due to heavier trading. Surprisingly, there has been hardly any study on this important issue, in spite of some ad hoc approaches to treat multiple transactions. In this paper we investigate how to handle multiple transactions, particularly in the context of estimating the integrated volatility and integrated quarticity, which are of great interest in financial econometrics. Two approaches are proposed for this purpose, and their asymptotic properties are investigated. Their performances are confirmed by simulation studies. The estimators are also applied to some real life problems. The work represents only the first step in this direction, and some future research problems are discussed.

Suggested Citation

Jing, Bingyi and Liu, Zhi and Kong, Xinbing, Estimating the Volatility Functionals with Multiple Transactions (January 21, 2015). Available at SSRN: https://ssrn.com/abstract=2543312 or http://dx.doi.org/10.2139/ssrn.2543312

Bingyi Jing

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

Zhi Liu (Contact Author)

University of Macau ( email )

P.O. Box 3001
Macau

Xinbing Kong

Soochow University ( email )

No. 1 Shizi Street
Suzhou, Jiangsu 215006
China

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