Title page for etd-0726107-094253


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URN etd-0726107-094253
Author Liang-ching Lin
Author's Email Address No Public.
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Department Applied Mathematics
Year 2006
Semester 2
Degree Master
Type of Document
Language English
Title Studies on the Estimation of Integrated Volatility for
High Frequency Data
Date of Defense 2007-06-20
Page Count 42
Keyword
  • Asymptotic efficiency
  • Convergence rate
  • Microstructure noise
  • High frequency data
  • Realized integrated volatility
  • Abstract Estimating the integrated volatility of high frequency realized prices is an important
    issue in microstructure literature. Bandi and Russell (2006) derived the optimal-sampling
    frequency, and Zhang et al. (2005) proposed a "two-scales estimator" to solve the problem.
    In this study, we propose a new estimator based on a signal to noise ratio statistic with
    convergence rate of Op (n^(−1/ 4) ). The method is applicable to both constant and stochastic
    volatility models and modi‾es the Op (n^(−1/ 6) ) convergence rate of Zhang et al. (2005). The
    proposed estimator is shown to be asymptotic e±cient as the maximum likelihood estimate
    for the constant volatility case. Furthermore, unbiased estimators of the two elements, the
    variance of the microstructure noise and the fourth moment of the realized log returns, are
    also proposed to facilitate the estimation of integrated volatility. The asymptotic prop-
    erties and e®ectiveness of the proposed estimators are investigated both theoretically and
    via simulation study.
    Advisory Committee
  • Mong-Na Lo Huang - chair
  • Fu-Chuen Chang - co-chair
  • Mei-Hui Guo - advisor
  • Files
  • etd-0726107-094253.pdf
  • indicate accessible in a year
    Date of Submission 2007-07-26

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