Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/103803 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2014-053
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation (X;X)t is constructed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of the integrated squared volatility of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in mean). This considerably improves upon the classical n -1/4-rate obtained from transaction prices under microstructure noise.
Schlagwörter: 
Brownian excursion area
limit order book
integrated volatility
Feynman-Kac
high-frequency data
Poisson point process
JEL: 
C22
C58
Dokumentart: 
Working Paper

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