Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise

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• Markus Reiss (Humboldt University Berlin)
• Friday 12 March 2010, 15:30-16:30
• MR12, CMS, Wilberforce Road, Cambridge, CB3 0WB.

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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.

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