Senior Honors Thesis Presentation: "Bootstrap Estimation of Volatility Under Microstructure Noise"

Speaker: Leda Liang, Washington University in Saint Louis

Abstract: Integrated volatility is often of interest in financial econometrics due to its many applications such as option pricing. This paper begins with a brief background on bootstrapping techniques and simulation methods for estimating the coverage rates of confidence intervals. It then discusses various estimators for realized volatility and emphasizes methods accounting for market microstructure noise, which is often present in observed high frequency stock price data. It explores different methods for bootstrapping volatility including situations with market microstructure noise. The consistency of the estimators will be evaluated by Monte Carlo simulations of the coverage rates for each bootstrap confidence interval method.

Host: Jose Figueroa-Lopez