When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility

2017 ◽  
Author(s):  
Rui Da ◽  
Dacheng Xiu
Keyword(s):  
High Frequency ◽  
Moving Average ◽  
High Frequency Data ◽  
Frequency Data ◽  
Moving Average Models

scholarly journals When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility

Econometrica ◽  
2021 ◽  
Vol 89 (6) ◽  
pp. 2787-2825 ◽  
Author(s):  
Rui Da ◽  
Dacheng Xiu
Keyword(s):  
High Frequency ◽  
Moving Average ◽  
Information Criterion ◽  
High Frequency Data ◽  
Dependence Structure ◽  
Frequency Data ◽  
Finite Samples ◽  
Moving Average Models ◽  
Moving Average Model ◽  
Itô Semimartingale

We conduct inference on volatility with noisy high‐frequency data. We assume the observed transaction price follows a continuous‐time Itô‐semimartingale, contaminated by a discrete‐time moving‐average noise process associated with the arrival of trades. We estimate volatility, defined as the quadratic variation of the semimartingale, by maximizing the likelihood of a misspecified moving‐average model, with its order selected based on an information criterion. Our inference is uniformly valid over a large class of noise processes whose magnitude and dependence structure vary with sample size. We show that the convergence rate of our estimator dominates n 1/4 as noise vanishes, and is determined by the selected order of noise dependence when noise is sufficiently small. Our implementation guarantees positive estimates in finite samples.

Efficient Estimation of Volatility using High Frequency Data

2002 ◽  
Author(s):  
Gilles O. Zumbach ◽  
Fulvio Corsi ◽  
Adrian Trapletti
Keyword(s):  
High Frequency ◽  
Efficient Estimation ◽  
High Frequency Data ◽  
Frequency Data

Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

2017 ◽  
Author(s):  
Rim mname Lamouchi ◽  
Russell mname Davidson ◽  
Ibrahim mname Fatnassi ◽  
Abderazak Ben mname Maatoug
Keyword(s):  
Exchange Rate ◽  
High Frequency ◽  
Realized Volatility ◽  
High Frequency Data ◽  
Frequency Data

Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data

2019 ◽  
Author(s):  
Christian-Oliver Ewald ◽  
Yihan Zou
Keyword(s):  
Stochastic Volatility ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data
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