Estimation of quarticity with high-frequency data
Year: 2012
Type: article
Abstract: We propose a new methodology based on Fourier analysis to estimate the fourth power of the volatility function (spot quarticity) and, as a byproduct, the integrated function. We prove the consistency of the proposed estimator of the integrated quarticity. Further, we analyse its efficiency in the presence of microstructure noise, from both a theoretical and empirical viewpoint. Extensions to higher powers of volatility and to the multivariate case are also discussed.
Source: Quantitative Finance
Authors: Maria Elvira Mancino, Simona Sanfelici
Institutions: University of Florence, University of Parma
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2011151924