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  5. Volatility of volatility:estimation and tests based on noisy high frequency data

Volatility of volatility:estimation and tests based on noisy high frequency data

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：lazysheep85
【摘 要】
：
This paper estimates the volatility of volatility based on noisy high frequency data.We use the pre-averaging method to build an estimator for spot volatility,based on which we construct a consistent
【作 者】
：
Yingying Li Guangying Liu Zhiyuan Zhang 
【机 构】
：
Department of ISOM and Department of Finance,Hong Kong University of Science and Technology,Clear Wa
【出 处】
：
上海交通大学
【发表日期】
：
2016年4期
【关键词】
：
volatility of volatility central limit theorem high frequency data microstructur 
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　　This paper estimates the volatility of volatility based on noisy high frequency data.We use the pre-averaging method to build an estimator for spot volatility,based on which we construct a consistent estimator of volatility of volatility.
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