摘要翻译:
我们通过马尔可夫核$q$,把微观结构看作是潜在证券价格的任意污染。特殊情况包括相加误差、舍入及其组合。我们的主要结果是,在光滑性条件下,两个标度的实现挥发性对污染形式是鲁棒的。为了突破我们结果的极限,我们展示了一些涉及四舍五入的模型(当然,这不是平滑的)会发生什么,并看到在这种情况下,鲁棒性如何随着平滑度的降低而恶化。我们的结论是,在合理的光滑性下,不需要过于仔细地考虑微观结构是如何形成的,而如果怀疑严重的非光滑性,则需要注意精确的结构以及波动率估计器的用途。
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英文标题:
《Are volatility estimators robust with respect to modeling assumptions?》
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作者:
Yingying Li, Per A. Mykland
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最新提交年份:
2007
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Statistical Finance 统计金融
分类描述:Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类:Mathematics 数学
二级分类:Statistics Theory 统计理论
分类描述:Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计:例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类:Statistics 统计学
二级分类:Statistics Theory 统计理论
分类描述:stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近,贝叶斯推论,决策理论,估计,基础,推论,检验。
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英文摘要:
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 robust to the form of contamination $Q$. To push the limits of our result, we show what happens for some models that involve rounding (which is not, of course, smooth) and see in this situation how the robustness deteriorates with decreasing smoothness. Our conclusion is that under reasonable smoothness, one does not need to consider too closely how the microstructure is formed, while if severe non-smoothness is suspected, one needs to pay attention to the precise structure and also the use to which the estimator of volatility will be put.
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PDF链接:
https://arxiv.org/pdf/0709.0440