Estimating spot volatility with high-frequency financial data
(2014)
Journal Article
Zu, Y., & Boswijk, P. (2014). Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181(2), https://doi.org/10.1016/j.jeconom.2014.04.001
We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale... Read More about Estimating spot volatility with high-frequency financial data.