We propose a new methodology based on Fourier analysis to estimate the fourth power of volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove consistency of the proposed estimator of integrated quarticity. Further we analyze its e±ciency in the presence of microstructure noise, both from a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed.
Estimation of quarticity with high frequency data / M.E.Mancino; S.Sanfelici. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - STAMPA. - 12:(2012), pp. 607-622. [10.1080/14697688.2012.664936]
Estimation of quarticity with high frequency data
MANCINO, MARIA ELVIRA;
2012
Abstract
We propose a new methodology based on Fourier analysis to estimate the fourth power of volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove consistency of the proposed estimator of integrated quarticity. Further we analyze its e±ciency in the presence of microstructure noise, both from a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed.File | Dimensione | Formato | |
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