Local SIML Estimation of Brownian Functionals
We introduce the local SIML (LSIML) method for estimating some Brownian functionals including the asymptotic variance of the SIML estimator. It is an extension of the basic SIML method and we show the usefulness of the LSIML method through simulations.
- Ait-Sahalia, Y., and J. Jacod. 2014. High-frequency financial econometrics. Princeton University Press.Google Scholar
- Ait-Sahalia, Y., P. Mykland, and L. Zhang. 2005. How often to sample a continuous-time process in the presence of market microstructure noise. The Review of Financial Studies 18–2: 351–416.Google Scholar