Sykulski, A.M., Olhede, S.C. and Pavliotis, G.A.
High Frequency Variability and Microstructure Bias.
At Inference and Estimation in Probabilistic Time-Series Models, Isaac Newton Institute for Mathematical Sciences, Cambridge., UK,
18 - 20 Jun 2008.
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.
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