Are volatility estimators robust with respect to modeling assumptions?

• Published in: arXiv.org
• Main Authors: Li, Yingying, Mykland, Per A
• Format: Paper Journal Article
• Language: English
• Published: Ithaca Cornell University Library, arXiv.org 04.09.2007
• Subjects: Contamination; Markov processes; Mathematics - Statistics Theory; Microstructure; Quantitative Finance - Statistical Finance; Rounding; Securities prices; Smoothness; Statistics - Theory; Volatility

We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel \(Q\). Special cases include additive error, rounding and combinations thereof. Our main result is that, subject to smoothness conditions, the two scales realized volatility is...