CAJ | 학술논문

由于在波动率估计中高频数据的使用，市场微观结构噪音的干扰对无偏的和一致的估计波动率已经变成了一种障碍，为了更好地估计真实波动率，噪音方差估计显得日益重要，本文基于目前关于波动率估计研究成果，提出了在不同的假设情况下估计市场微观结构噪音误差的方法，并与常用的估计方法进行深入的比较，得到它们的渐近性质，并且进行广泛的模拟研究它们的有限样本性质，并得到较有意义的结果。
유우재파동솔고계중고빈수거적사용，시장미관결구조음적간우대무편적화일치적고계파동솔이경변성료일충장애，위료경호지고계진실파동솔，조음방차고계현득일익중요，본문기우목전관우파동솔고계연구성과，제출료재불동적가설정황하고계시장미관결구조음오차적방법，병여상용적고계방법진행심입적비교，득도타문적점근성질，병차진행엄범적모의연구타문적유한양본성질，병득도교유의의적결과。
Due to the use of high-frequency data in the estimation of volatility, the interference of market microstructure noise has become an obstacle to the unbiased and consistent estimation of volatility. In order to better estimate the real volatility, the estimation of noise variance appears to he increasingly important. Based on the current research results on the estimation of volatility, we propose several kinds of the estimation method of market microstructure noise error under different assumptions and deeply test between them and old ones. We derive its asymptotic properties and perform extensive simulations to study the finite sample properties, and more meaningful results are obtained.