Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/36612
Authors: 
Jacod, Jean
Li, Yingying
Mykland, Per A.
Podolskij, Mark
Vetter, Mathias
Year of Publication: 
2007
Series/Report no.: 
Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2007,41
Abstract: 
This paper presents a generalized pre-averaging approach for estimating the integrated volatility. This approach also provides consistent estimators of other powers of volatility in particular, it gives feasible ways to consistently estimate the asymptotic variance of the estimator of the integrated volatility. We show that our approach, which possess an intuitive transparency, can generate rate optimal estimators (with convergence rate n-1/4).
Subjects: 
consistency
continuity
discrete observation
Itô process
leverage effect
pre-averaging
quarticity
realized volatility
stable convergence
Document Type: 
Working Paper

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