Abstract
The estimation of the integrated volatility implies two phenomenons, (1) the estimation characteristics coming with the selected volatility estimator, and (2) the zero-inflation coming with the ultra-high-frequency measurement, meaning the agglomerated appearance of zeros. Zero-inflation occurs especially in situations where the frequency of transaction records is substantially larger than the frequency of price changes, and can be observed in the transaction records as well as in the resulting volatility estimates.
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© 2016 Springer Fachmedien Wiesbaden
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Kömm, H. (2016). Zero-inflated Data Generation Processes. In: Forecasting High-Frequency Volatility Shocks. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-12596-7_4
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DOI: https://doi.org/10.1007/978-3-658-12596-7_4
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Publisher Name: Springer Gabler, Wiesbaden
Print ISBN: 978-3-658-12595-0
Online ISBN: 978-3-658-12596-7
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