| 高频金融数据下二阶波动率阵的估计 |
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| 引用本文： | 何龙仿,杜雪樵. 高频金融数据下二阶波动率阵的估计[J]. 合肥工业大学学报(自然科学版), 2009, 32(4) |
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| 作者姓名： | 何龙仿 杜雪樵 |
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| 作者单位： | 合肥工业大学,数学系,安徽,合肥,230009;合肥工业大学,数学系,安徽,合肥,230009 |
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| 摘 要： | 文章针对高频金融数据波动率研究领域中出现的微观结构噪音和跳过程的双重影响问题,在对高频金融数据下单个资产跳-扩散定价过程中波动率研究的基础上,对资产定价过程中的跳和微观结构噪音分别进行考虑,得出了高频金融数据下2个资产跳-扩散定价过程中的二阶波动率阵的估计和其收敛速度,扩大了现有文献中相应的研究结果.
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| 关 键 词： | 高频金融数据 市场微观结构噪音 已实现波动率阵 |
Second-order volatility matrix estimation for high frequency financial data |
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| HE Long-fang,DU Xue-qiao. Second-order volatility matrix estimation for high frequency financial data[J]. Journal of Hefei University of Technology(Natural Science), 2009, 32(4) |
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| Authors: | HE Long-fang DU Xue-qiao |
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| Affiliation: | Dept.of Mathematics;Hefei University of Technology;Hefei 230009;China |
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| Abstract: | In the volatility study field,the market microstructure noise and jumps have an effect on the high frequency financial data.Based on the volatility analysis of the single asset jump-diffusion price processes,the estimator of the second-order volatility matrix of two-asset jump-diffusion price processes for high frequency data is obtained by considering jumps and microstructure noise separately,and its convergence rate is also given.The obtained results extends the related results in the existing literature. |
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| Keywords: | high frequency financial data market microstructure noise realized volatility matrix |
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