高频金融数据下二阶波动率阵的估计

Second-order volatility matrix estimation for high frequency financial data

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。

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.