Working paper
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.
- Abstract:
-
We consider kernel-based estimators of integrated variances in the presence of independent market microstructure effects. We derive the bias and variance properties for all regular kernel-based estimators and derive a lower bound for their asymptotic variance. Further we show that the subsample-based estimator is closely related to a Bartlett-type kernel estimator. The small difference between the two estimators due to end effects, turns out to be key for the consistency of the subsampling es...
Expand abstract
Actions
Authors
Bibliographic Details
- Series:
- Economics Group, Nuffield College, University of Oxford, Economics Papers
- Host title:
- Economics Group, Nuffield College, University of Oxford, Economics Papers
- Publication date:
- 2004-01-01
Item Description
- Language:
- English
- UUID:
-
uuid:7a565282-4377-43d1-b10b-956a298d6dea
- Local pid:
- oai:economics.ouls.ox.ac.uk:11888
- Deposit date:
- 2011-08-16
Related Items
Terms of use
- Copyright date:
- 2004
If you are the owner of this record, you can report an update to it here: Report update to this record