Econometrica

Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jan, 2017, Volume 85, Issue 1

Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance

https://doi.org/10.3982/ECTA12501
p. 197-231

Per A. Mykland, Lan Zhang

The availability of high frequency financial data has generated a series of estimators based on intra‐day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that traditionally, standard errors rely on estimating a theoretically derived asymptotic variance, and often this asymptotic variance involves substantially more complex quantities than the original parameter to be estimated.


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Supplemental Material

Supplement to "Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance"

This appendix contains additional proofs and technical issues.