Faster Convergence to the Estimation of Quadratic Variation …
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- DOI 10.1080/03610926.2013.847103
- OpenAlex ID W2012573932
- Type Article
- Language EN
- Published 22 Apr 2015
- Volume 44 (13)
- Pages 2827–2841
- Source Communication in Statistics- Theory and …
- Publisher Taylor & Francis
- Countries 1
- Institutions 1
- Added 24 Jun 2016
- Updated 16 Oct 2026
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Faster Convergence to the Estimation of Quadratic Variation with Microstructure Noise
Article 2015 EN
The continuous quadratic variation of asset return plays a critical role for high-frequency trading. However, the microstructure noise could bias the estimation of the continuous quadratic variation. Zhang et al. (2005 Zhang, L., Mykland, P., Ait-Sahalia, Y. (2005). A tale of two time scales: determining integrated volatility with noisy high-frequency data. J. Amer. Statist. Assoc. 100(472):1394–1…
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2 authors| # | Author | Institutions | ORCID |
|---|---|---|---|
| 1 | Yun‐Cheng Tsai Corresponding | National Taiwan University (TW) | |
| 2 | Yuh‐Dauh Lyuu | National Taiwan University (TW) |
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