English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Tools annual

Global: Zendy Free Plan

Global: Zendy Tools monthly

Global: Zendy Plus monthly

We consider microstructure as an arbitrary contamination of the underlyinglatent securities price, through a Markov kernel $Q$. Special cases includeadditive error, rounding and combinations thereof. Our main result is that,subject to smoothness conditions, the two scales realized volatility is robustto the form of contamination $Q$. To push the limits of our result, we showwhat happens for some models that involve rounding (which is not, of course,smooth) and see in this situation how the robustness deteriorates withdecreasing smoothness. Our conclusion is that under reasonable smoothness, onedoes not need to consider too closely how the microstructure is formed, whileif severe non-smoothness is suspected, one needs to pay attention to theprecise structure and also the use to which the estimator of volatility will beput.

Are volatility estimators robust with respect to modeling assumptions?