[R-SIG-Finance] intraday volatility

[rex]

rex <rex at nosyntax.net> [2010-10-28 07:09]:
>As Brian noted, noise is predominant in HF data. The URLs below
>link to a recent (2010) paper on the problem. Google will turn up
>a free draft version of the paper.

The URLs fail. :( Here's a reference:

Ultra High Frequency Volatility Estimation with Dependent
Microstructure Noise
Yacine Ait-Sahalia, Per A. Mykland, Lan Zhang
First Draft: November 2004. This Version: October 28, 2008.
                    Abstract
We analyze the impact of time series dependence in market
microstructure noise on the properties of estimators of the
integrated volatility of an asset price based on data sampled at
frequencies high enough for that noise to be a dominant
consideration. We show that combining two time scales for that
purpose will work even when the noise exhibits time series
dependence, analyze in that context a refinement of this approach
based on multiple time scales, and compare empirically our
different estimators to the standard realized volatility.

Google Scholar advanced search ( author:Mykland) will find the
full text.

http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.143.972&rep=rep1&type=pdf

(Tested, it works in FF.)

-rex
-- 
Mathematician: noun, someone who disavows certainty when their
uncertainty set is non-empty, even if that set has measure zero.