Frequency Domain Estimation of Integrated Volatility for Ito Processes in the Presence of Market-Microstructure Noise

This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in the presence of market microstructure noise (observation error). The multiscale structure of the observed process is represented frequency by frequency, and the concept of the multiscale ratio is intr...

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Bibliographic Details
Main Authors: Olhede, S.C (Author), Sykulski, A.M (Author), Pavliotis, G.A (Author)
Format: Article
Language:English
Published: 2009-12-09.
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