NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Yacine Ait-Sahalia, Per A. Mykland, Lan Zhang

NBER Working Paper No. 11380
Issued in May 2005
NBER Program(s):   AP

We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.

download in pdf format
   (482 K)

email paper

This paper is available as PDF (482 K) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w11380

Published: Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011. "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.

Users who downloaded this paper also downloaded these:
Aït-Sahalia and Yu w13825 High Frequency Market Microstructure Noise Estimates and Liquidity Measures
Zhang, Mykland, and Aït-Sahalia t0319 Edgeworth Expansions for Realized Volatility and Related Estimators
Engle w5816 The Econometrics of Ultra-High Frequency Data
Aït-Sahalia and Jacod w15808 Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Andersen and Bollerslev w5752 Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us