Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

Details Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

2010-01-18

arxiv.org/abs/1001.3006v1

Mathematics

Statistics Theory

Scientific paper

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 $\sigma$. As an application, simple rate-optimal estimators of the volatility and efficient estimators of the integrated volatility are constructed.

Affiliated with

Also associated with

No associations

Rating

Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-661085