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Are volatility estimators robust with respect to modeling assumptions
 Bernoulli
, 2007
"... We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel Q. Special cases include additive error, rounding, and combinations thereof. Our main result is that, subject to smoothness conditions, the two scales realized volatility (TSR ..."
Abstract

Cited by 19 (6 self)
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We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel Q. Special cases include additive error, rounding, and combinations thereof. Our main result is that, subject to smoothness conditions, the two scales realized volatility (TSRV) is robust to the form of contamination Q. To push the limits of our result, we show what happens for some models involving rounding (which is not, of course, smooth) and see in this situation how the robustness deteriorates with decreasing smoothness. Our conclusion is that under reasonable smoothness, one does not need to consider too closely how the microstructure is formed, while if severe nonsmoothness is suspected, one needs to pay attention to the precise structure and also to what use the estimator of volatility will be put. 1
THE THEORY OF MONEY AND FINANCIAL INSTITUTIONS: A SUMMARY OF A GAME THEORETIC APPROACH
, 2006
"... A game theoretic approach to the theory of money and financial institution is given utilizing both the strategic and coalitional forms for describing the economy. The economy is first modeled as a strategic market game, then the strategic form is used to calculate several cooperative forms that diff ..."
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A game theoretic approach to the theory of money and financial institution is given utilizing both the strategic and coalitional forms for describing the economy. The economy is first modeled as a strategic market game, then the strategic form is used to calculate several cooperative forms that differ from each other in their utilization of money and credit and their treatment of threats. It is shown that there are natural upper and lower bounds to the monetary needs of an economy, but even in the extreme structures the concept of “enough money” can be defined usefully, and for large economies the games obtained from the lower and upper bounds have cores that approach the same limit that is an efficient price system. The role of disequilibrium is then discussed.
unknown title
, 709
"... Are volatility estimators robust with respect to modeling assumptions? ..."
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Assumptions? ∗
, 2006
"... We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel Q. Special cases include additive error, rounding, and combinations thereof. Our main result is that, subject to smoothness conditions, the two scales realized volatility (TSRV ..."
Abstract
 Add to MetaCart
We consider microstructure as an arbitrary contamination of the underlying latent securities price, through a Markov kernel Q. Special cases include additive error, rounding, and combinations thereof. Our main result is that, subject to smoothness conditions, the two scales realized volatility (TSRV) is robust to the form of contamination Q. To push the limits of our result, we show what happens for some models involving rounding (which is not, of course, smooth) and see in this situation how the robustness deteriorates with decreasing smoothness. Our conclusion is that under reasonable smoothness, one does not need to consider too closely how the microstructure is formed, while if severe nonsmoothness is suspected, one needs to pay attention to the precise structure and also to what use the estimator of volatility will be put.