TY  - UNPD
A1  - Hautsch, Nikolaus
A1  - Podolskij, Mark
T1  - Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2010,17
N2  - This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded at the NYSE, we analyze the estimators’ sensitivity to the choice of the pre-averaging bandwidth and suggest an optimal interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we provide guidance for optimal implementation of pre-averaging estimators and discuss potential pitfalls in practice. Quadratic Variation , MarketMicrostructure Noise , Pre-averaging , Sampling Schemes , Jumps
T3  - CFS working paper series - 2010, 17 
KW  - Quadratic Variation
KW  - MarketMicrostructure Noise
KW  - Pre-averaging
KW  - Sampling Schemes
KW  - Jumps
Y1  - 2010
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7936
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-75630
IS  - July 2010
ER  -