A Functional Filtering And Neighborhood Truncation Approach To Integrated Quarticity Estimation

Date Added: Jun 2011
Format: PDF

The authors provide a first in-depth look at robust estimation of Integrated Quarticity (IQ) based on high frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. It is by now widely accepted that intraday data are highly informative regarding the contemporaneous level of volatility relative to daily returns. The use of high-frequency returns is, however, not without its problems.