A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises

doi:10.1002/asmb.2352

CORC > 上海财经大学 > 上海财经大学

	A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
	Tang, Yinfen; Zhang, Zhiyuan
刊名	APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY
	2019-05
卷号	35 期号:3 页码:603-623
关键词	combined filters high-frequency data integrated volatility market microstructure noise price discreteness
ISSN号	1524-1904
DOI	10.1002/asmb.2352
英文摘要	This paper introduces a solution that combines the Kalman and particle filters to the challenging problem of estimating integrated volatility using high-frequency data where the underlying prices are perturbed by a mixture of random noise and price discreteness. An explanation is presented of how the proposed combined filtering approach is able to correct for bias due to this mixed-type microstructure effect. Simulation and empirical studies on the tick-by-tick trade price data for four US stocks in the year 2009 show that our method has clear advantages over existing high-frequency volatility estimation methods.
WOS研究方向	Operations Research & Management Science ; Mathematics
语种	英语
出版者	WILEY
WOS记录号	WOS:000471712700014
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/262]
专题	上海财经大学
通讯作者	Zhang, Zhiyuan
作者单位	Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Tang, Yinfen,Zhang, Zhiyuan. A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises[J]. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY,2019,35(3):603-623.
APA	Tang, Yinfen,&Zhang, Zhiyuan.(2019).A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises.APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY,35(3),603-623.
MLA	Tang, Yinfen,et al."A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises".APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY 35.3(2019):603-623.