Date
Thu, 24 Jan 2013
Time
13:00 - 14:00
Location
DH 1st floor SR
Speaker
Rasmus Varneskov (Oxford Man Institute)

This paper analyzes a generalized class of flat-top realized kernels for

estimation of the quadratic variation spectrum in the presence of a

market microstructure noise component that is allowed to exhibit both

endogenous and exogenous $\alpha$-mixing dependence with polynomially

decaying autocovariances. In the absence of jumps, the class of flat-top

estimators are shown to be consistent, asymptotically unbiased, and

mixed Gaussian with the optimal rate of convergence, $n^{1/4}$. Exact

bounds on lower order terms are obtained using maximal inequalities and

these are used to derive a conservative MSE-optimal flat-top shrinkage.

In a theoretical and/or a numerical comparison with alternative

estimators, including the realized kernel, the two-scale realized

kernel, and a proposed robust pre-averaging estimator, the flat-top

realized kernels are shown to have superior bias reduction properties

with little or no increase in finite sample variance.

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