TY  - JOUR
AU  - Ait-Sahalia,Yacine
AU  - Mykland,Per A.
AU  - Zhang,Lan
TI  - Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 11380
PY  - 2005
Y2  - May 2005
UR  - http://www.nber.org/papers/w11380
L1  - http://www.nber.org/papers/w11380.pdf
N1  - Author contact info:
Yacine Ait-Sahalia
Department of Economics
Fisher Hall
Princeton University
Princeton, NJ 08544-1021
Tel: 609/258-4015
Fax: 609/258-0719
E-Mail: yacine@princeton.edu

Per Mykland
University of Chicago
E-Mail: mykland@pascal.uchicago.edu

Lan Zhang
University of Chicago
E-Mail: lzhang@galton.uchicago.edu
AB  - 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.
ER  -