Integrated volatility and round-off error

By Mathieu Rosenbaum. 2009

51 citations recorded by the source corpus.

We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre and Jacod, consists in the observation at the high frequency $n$, with round-off error $\alpha_n$, of a diffusion on a finite interval. We give from this sample estimators for different forms of the integrated volatility of the asset. Our method is based on variational properties of the process associated with wavelet techniques. We prove that the accuracy of our estimation procedures is $\alpha_n\vee n^{-1/2}$. Using compensated estimators, limit theorems are obtained.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/1e68db512b2cc38d3dd28cc496754bea4d46d1ed

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Citations in the corpus

VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS (2012, methodology): “This agrees with the simulation results about the noise that can be found in Robert and Rosenbaum (2009).”
On the Estimation of Integrated Volatility With Jumps and Microstructure Noise (2014, unknown): “Rosenbaum (2009) also considered the integrated volatility estimation under round-off error using wavelet approach.”
Statistical Properties of Microstructure Noise (2013, unknown): “Gloter and Jacod (2001), Li and Mykland (2007) and Rosenbaum (2009) studied the case when the noise is of specific form such as roundoff errors or round-off errors on top of additive white noise.”