# Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

If you have a question about this talk, please contact rbg24.

The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam’s sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the volatility function $\sigma$. As an application, simple rate-optimal estimators of the volatility and efficient estimators of the integrated volatility are constructed.

http://www.mathematik.hu-berlin.de/~mreiss/

This talk is part of the Statistics series.

Tell a friend about this talk:

## This talk is included in these lists:

Note that ex-directory lists are not shown.

© 2006-2019 Talks.cam, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity