{"title":"综合波动率估算:观测噪声变量的情况","authors":"Erindi Allaj","doi":"10.1007/s42952-024-00286-z","DOIUrl":null,"url":null,"abstract":"<p>We propose a new estimator of the integrated volatility in presence of observed noise variables, measured, for example, by the trading volume or the bid-ask-spread. We find that, under specific conditions, the proposed estimator is consistent and the error, adjusted for the noise effects, between the proposed estimator and the integrated volatility has the same asymptotic distribution of the realized volatility estimator under no noise effects. Finally, our results are validated by a simulation and an empirical study.</p>","PeriodicalId":49992,"journal":{"name":"Journal of the Korean Statistical Society","volume":"161 1","pages":""},"PeriodicalIF":0.6000,"publicationDate":"2024-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Integrated volatility estimation: the case of observed noise variables\",\"authors\":\"Erindi Allaj\",\"doi\":\"10.1007/s42952-024-00286-z\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<p>We propose a new estimator of the integrated volatility in presence of observed noise variables, measured, for example, by the trading volume or the bid-ask-spread. We find that, under specific conditions, the proposed estimator is consistent and the error, adjusted for the noise effects, between the proposed estimator and the integrated volatility has the same asymptotic distribution of the realized volatility estimator under no noise effects. Finally, our results are validated by a simulation and an empirical study.</p>\",\"PeriodicalId\":49992,\"journal\":{\"name\":\"Journal of the Korean Statistical Society\",\"volume\":\"161 1\",\"pages\":\"\"},\"PeriodicalIF\":0.6000,\"publicationDate\":\"2024-08-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of the Korean Statistical Society\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1007/s42952-024-00286-z\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of the Korean Statistical Society","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1007/s42952-024-00286-z","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Integrated volatility estimation: the case of observed noise variables
We propose a new estimator of the integrated volatility in presence of observed noise variables, measured, for example, by the trading volume or the bid-ask-spread. We find that, under specific conditions, the proposed estimator is consistent and the error, adjusted for the noise effects, between the proposed estimator and the integrated volatility has the same asymptotic distribution of the realized volatility estimator under no noise effects. Finally, our results are validated by a simulation and an empirical study.
期刊介绍:
The Journal of the Korean Statistical Society publishes research articles that make original contributions to the theory and methodology of statistics and probability. It also welcomes papers on innovative applications of statistical methodology, as well as papers that give an overview of current topic of statistical research with judgements about promising directions for future work. The journal welcomes contributions from all countries.