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Title:Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise PDF Logo
Authors:Reiß, Markus
Issue Date:2011
Series/Report no.:SFB 649 discussion paper 2011-028
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.
Subjects:high-frequency data
integrated volatility
spot volatility estimation
Le Cam deficiency
equivalence of experiments
Gaussian shift
JEL:C14
C58
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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