Quasi-maximum likelihood estimation of volatility with high frequency data

@inproceedings{XiuQuasimaximumLE,
  title={Quasi-maximum likelihood estimation of volatility with high frequency data},
  author={Dacheng Xiu}
}
  • Dacheng Xiu
JEL classification: C13 C22 C51 Keywords: Integrated volatility Market microstructure noise Quasi-maximum likelihood estimator Realized kernels Stochastic volatility a b s t r a c t This paper investigates the properties of the well-known maximum likelihood estimator in the presence of stochastic volatility and market microstructure noise, by extending the classic asymptotic results of quasi-maximum likelihood estimation. When trying to estimate the integrated volatility and the variance of… CONTINUE READING
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