Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise

Computational Statistics and Data Analysis

Volumn 52, Issue 6, 2008, Pages 2966-2989

  Mancino, M E ^a   Sanfelici, S ^b  

^a UNIVERSITY OF FLORENCE   (Italy)

^b UNIVERSITY OF PARMA   (Italy)

Author keywords

Fourier analysis; Integrated volatility; Microstructure; Nonparametric estimation; Optimal sampling

Indexed keywords

MEAN SQUARE ERROR; MICROSTRUCTURE; OPTIMIZATION; PARAMETER ESTIMATION; ROBUSTNESS (CONTROL SYSTEMS);

INTEGRATED VOLATILITY; OPTIMAL SAMPLING;

FOURIER ANALYSIS;

EID: 39049164384     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2007.07.014     Document Type: Article

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