arXiv 31 May 2022 · Econometrics · publishedEconometrics Journal (2024) · 1 citations (OpenAlex)
arXiv:2205.15738 · PDF · DOI · OpenAlex · Extracted main text
Jumps and market microstructure noise are stylized features of high-frequency financial data. It is well known that they introduce bias in the estimation of volatility (including integrated and spot volatilities) of assets, and many methods have been proposed to deal with this problem. When the jumps are intensive with infinite variation, the efficient estimation of spot volatility under serially dependent noise is not available and is thus in need. For this purpose, we propose a novel estimator of spot volatility with a hybrid use of the pre-averaging technique and the empirical characteristic function. Under mild assumptions, the results of consistency and asymptotic normality of our estimator are established. Furthermore, we show that our estimator achieves an almost efficient convergence rate with optimal variance when the jumps are either less active or active with symmetric structure. Simulation studies verify our theoretical conclusions. We apply our proposed estimator to empirical analyses, such as estimating the weekly volatility curve using second-by-second transaction price data.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Figueroa-López, J.E., Wu, B (2022) Kernel estimation of spot volatility with microstructure noise using pre-averaging | 1.000 | 13 | 3 | 100% |
| 2 | Jacod, J., Li, Y., Zheng, X (2017) Statistical properties of microstructure noise | 1.000 | 5 | 3 | 100% |
| 3 | Jacod, J., Todorov, V (2014) Efficient estimation of integrated volatility in presence of infinite variation jumps | 0.950 | 7 | 4 | 86% |
| 4 | Liu, Q., Liu, Y., Liu, Z (2018) Estimating spot volatility in the presence of infinite variation jumps self | 0.928 | 5 | 4 | 80% |
| 5 | Jacod, J., Todorov, V (2018) Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volati… | 0.928 | 4 | 4 | 100% |
| 6 | Jacod, J., Li, Y., Mykland, P.A., Podolskij, M., Vetter, M (2009) Microstructure noise in the continuous case: The pre-averaging approach | 0.928 | 4 | 3 | 100% |
| 7 | Wang, L., Liu, Z., Xia, X (2019) Rate efficient estimation of realized Laplace transform of volatility with microstructure noise self | 0.843 | 4 | 4 | 75% |
| 8 | Jacod, J., Todorov, V (2016) Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices | 0.811 | 4 | 2 | 100% |
| 9 | Liu, Q., Liu, Z (2022) Statistical inference of spot correlation and spot market beta under infinite variation jumps self | 0.811 | 4 | 2 | 100% |
| 10 | Li, Z.M., Linton, O (2022) A ReMedi for microstructure noise | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 57 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | On the estimation of leverage effect and volatility of volatility in the presence of jumps | 0.511 | 2 | 2 |
| 2 | Spectral analysis of high-dimensional spot volatility matrix with applications | 0.405 | 1 | 1 |