Efficient Estimation of Stochastic Volatility Using Noisy Observations : A Multi-Scale Approach ∗

@inproceedings{Zhang2004EfficientEO,
  title={Efficient Estimation of Stochastic Volatility Using Noisy Observations : A Multi-Scale Approach ∗},
  author={Lan Zhang},
  year={2004}
}
With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed asset returns contain error or noise, for example, in the form of microstructure noise. The former (consistency) has been addressed heavily in the recent literature, however, the resulting estimator is not quite efficient. In Zhang, Mykland, and Aı̈t-Sahalia… CONTINUE READING
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