Modulated Tripower Quarticity

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Description

Modulated Tri-power Quarticity (MTQ) is an asymptotically unbiased estimator of integrated quarticity in the presence of microstructure noise. This estimator is also robust to finite activity jumps in price_

Usage

1
quarticity_mtq(estimator)

Arguments

estimator

Vector of (time, price) observations for market asset when external market data is used.

Details

- Convergence speed: m^{1/4} (m - number of observation)

- Accounts for additive noise: yes

- Accounts for finite price jumps: yes

- Accounts for time dependence in noise: no

- Accounts for endogenous effects in noise: no

Value

a numeric vector of the same length as input data.

Author(s)

Kostin Andrey <andrei.kostin@snowfallsystems.com>

References

M. Podolskij and M. Vetter, "Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps," Bernoulli, vol. 15, No. 3, pp. 634-658, 2009

See Also

quarticity_rq quarticity_rqq quarticity_rtq quarticity_mrq

Examples

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## Not run: 
data(spy.data) 
estimator=estimator_create(priceData=spy.data)
estimator_settings(estimator,
				   inputSamplingInterval = '10s',
				   resultsSamplingInterval = '10s')
util_plot2d(quarticity_mtq(estimator),title="MTQ")

## End(Not run)