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  1. Annals of the Institute of Statistical Mathematics
  2. Annals of the Institute of Statistical Mathematics : Volume 68
  3. Annals of the Institute of Statistical Mathematics : Volume 68, Issue 3, June 2016
  4. Optimal restricted quadratic estimator of integrated volatility
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Annals of the Institute of Statistical Mathematics : Volume 69
Annals of the Institute of Statistical Mathematics : Volume 68
Annals of the Institute of Statistical Mathematics : Volume 68, Issue 5, October 2016
Annals of the Institute of Statistical Mathematics : Volume 68, Issue 3, June 2016
Second-order asymptotic comparison of the MLE and MCLE of a natural parameter for a truncated exponential family of distributions
Bootstrapping sample quantiles of discrete data
A general sequential fixed-accuracy confidence interval estimation methodology for a positive parameter: illustrations using health and safety data
Decision-theoretic issues in heterogeneity variance estimation
Influence diagnostics for robust P-splines using scale mixture of normal distributions
Parameter change test for autoregressive conditional duration models
Inference in a model of successive failures with shape-adjusted hazard rates
Optimality of pairwise blocked definitive screening designs
Optimal restricted quadratic estimator of integrated volatility
Annals of the Institute of Statistical Mathematics : Volume 68, Issue 2, April 2016
Annals of the Institute of Statistical Mathematics : Volume 68, Issue 1, February 2016
Annals of the Institute of Statistical Mathematics : Volume 67
Annals of the Institute of Statistical Mathematics : Volume 66
Annals of the Institute of Statistical Mathematics : Volume 65
Annals of the Institute of Statistical Mathematics : Volume 64
Annals of the Institute of Statistical Mathematics : Volume 63
Annals of the Institute of Statistical Mathematics : Volume 62
Annals of the Institute of Statistical Mathematics : Volume 61
Annals of the Institute of Statistical Mathematics : Volume 60
Annals of the Institute of Statistical Mathematics : Volume 59
Annals of the Institute of Statistical Mathematics : Volume 58
Annals of the Institute of Statistical Mathematics : Volume 57
Annals of the Institute of Statistical Mathematics : Volume 56
Annals of the Institute of Statistical Mathematics : Volume 55
Annals of the Institute of Statistical Mathematics : Volume 54
Annals of the Institute of Statistical Mathematics : Volume 53
Annals of the Institute of Statistical Mathematics : Volume 52
Annals of the Institute of Statistical Mathematics : Volume 51
Annals of the Institute of Statistical Mathematics : Volume 50
Annals of the Institute of Statistical Mathematics : Volume 49

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Optimal restricted quadratic estimator of integrated volatility

Content Provider Springer Nature Link
Author Lin, Liang Ching Guo, Meihui
Copyright Year 2015
Abstract Estimation of the integrated volatility is an important problem in high-frequency financial data analysis. In this study, we propose a quadratic unbiased estimator of the integrated volatility for stochastic volatility models with microstructure noise. The proposed estimator minimizes the finite sample variance in the class of quadratic estimators based on symmetric Toeplitz matrices. We show the proposed estimator has an asymptotic mixed normal distribution with optimal convergence rate $$n^{-1/4}$$ and achieves the maximum likelihood estimator efficiency for constant volatility case. Simulation results show that our proposed estimator attains better finite sample efficiency than state-of-the-art methods. Finally, a real data analysis is conducted for illustration.
Starting Page 673
Ending Page 703
Page Count 31
File Format PDF
ISSN 00203157
Journal Annals of the Institute of Statistical Mathematics
Volume Number 68
Issue Number 3
e-ISSN 15729052
Language English
Publisher Springer Japan
Publisher Date 2015-03-03
Publisher Place Tokyo
Access Restriction One Nation One Subscription (ONOS)
Subject Keyword High-frequency data Integrated volatility Microstructure noise Signal-to-noise ratio Stochastic volatility model Statistics Statistics for Business/Economics/Mathematical Finance/Insurance
Content Type Text
Resource Type Article
Subject Statistics and Probability
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