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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

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  • Reiß, Markus

Abstract

The 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 .... As an application, simple rateoptimal estimators of the volatility and efficient estimators of the integrated volatility are constructed.

Suggested Citation

  • Reiß, Markus, 2011. "Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise," SFB 649 Discussion Papers 2011-028, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  • Handle: RePEc:zbw:sfb649:sfb649dp2011-028
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    Keywords

    high-frequency data; integrated volatility; spot volatility estimation; Le Cam deficiency; equivalence of experiments; Gaussian shift;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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