We propose a new estimator of the integrated volatility in presence of observed noise variables, measured, for example, by the trading volume or the bid-ask-spread. We find that, under specific conditions, the proposed estimator is consistent and the error, adjusted for the noise effects, between the proposed estimator and the integrated volatility has the same asymptotic distribution of the realized volatility estimator under no noise effects. Finally, our results are validated by a simulation and an empirical study.
Integrated volatility estimation: the case of observed noise variables / Allaj, Erindi. - In: JOURNAL OF THE KOREAN STATISTICAL SOCIETY. - ISSN 1226-3192. - (2024). [10.1007/s42952-024-00286-z]
Integrated volatility estimation: the case of observed noise variables
ALLAJ ERINDI
2024-01-01
Abstract
We propose a new estimator of the integrated volatility in presence of observed noise variables, measured, for example, by the trading volume or the bid-ask-spread. We find that, under specific conditions, the proposed estimator is consistent and the error, adjusted for the noise effects, between the proposed estimator and the integrated volatility has the same asymptotic distribution of the realized volatility estimator under no noise effects. Finally, our results are validated by a simulation and an empirical study.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.