Journal
ANNALS OF STATISTICS
Volume 39, Issue 2, Pages 772-802Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/10-AOS855
Keywords
High-frequency data; diffusions with measurement error; microstructure noise; integrated volatility; spot volatility estimation; Le Cam deficiency; equivalence of experiments; Gaussian shift
Categories
Ask authors/readers for more resources
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the volatility function a and a nonstandard noise level. As an application, new rate-optimal estimators of the volatility function and simple efficient estimators of the integrated volatility are constructed.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available