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2011-05-30Buch DOI: 10.18452/4318
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
dc.contributor.authorReiß, Markus
dc.date.accessioned2017-06-16T00:21:43Z
dc.date.available2017-06-16T00:21:43Z
dc.date.created2011-07-05
dc.date.issued2011-05-30
dc.date.submitted2011-05-30
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4970
dc.description.abstractThe basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the volatility function σ. As an application, simple rateoptimal estimators of the volatility and efficient estimators of the integrated volatility are constructed.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectHigh-frequency dataeng
dc.subjectintegrated volatilityeng
dc.subjectspot volatility estimationeng
dc.subjectGaussian shifteng
dc.subjectLe Cam deficiencyeng
dc.subjectequivalence of experimentseng
dc.subject.ddc330 Wirtschaft
dc.titleAsymptotic equivalence and sufficiency for volatility estimation under microstructure noise
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100188866
dc.identifier.doihttp://dx.doi.org/10.18452/4318
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages37
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue28
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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