Articlegreen2012

Estimation of quarticity with high-frequency data

20 citations0/0 files storedQuantitative Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

We propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove the consistency of the proposed estimator of the integrated quarticity. Further, we analyse its efficiency in the presence of microstructure noise, from both a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed.

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References

1985A Theory of the Term Structure of Interest Rates 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 2001The distribution of realized stock return volatility 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

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