Quasi-maximum likelihood estimation of volatility with high frequency data

This paper investigates the properties of the well-known maximum likelihood estimator in the presence of stochastic volatility and market microstructure noise, by extending the classic asymptotic results of quasi-maximum likelihood estimation. When trying to estimate the integrated volatility and th...

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Veröffentlicht in:	Journal of econometrics 2010-11, Vol.159 (1), p.235-250
1. Verfasser:	Xiu, Dacheng
Format:	Artikel
Sprache:	eng
Schlagworte:	Applications Distribution Distribution theory Economic models Estimation Exact sciences and technology Frequency Insurance, economics, finance Integrated volatility Integrated volatility Market microstructure noise Quasi-maximum likelihood estimator Realized kernels Stochastic volatility Linear inference, regression Market microstructure noise Mathematics Maximum likelihood method Model testing Monte Carlo simulation Numerical analysis Numerical analysis. Scientific computation Numerical methods in probability and statistics Parameter estimation Probability and statistics Quasi-maximum likelihood estimator Realized kernels Regression analysis Sciences and techniques of general use Significance tests Statistical models Statistics Stochastic models Stochastic volatility Studies Variance Volatility
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