Inference from High-Frequency Data: A Subsampling Approach
This study addresses volatility estimation in high-frequency financial data contaminated by market frictions or microstructure noise. The authors propose an adaptive subsampling approach that directly infers the asymptotic (conditional) covariance matrix of volatility estimators without explicitly modeling the noise structure. By employing time-rescaled statistics over local intervals to assess sampling variability, the method automatically selects tuning parameters while ensuring the resulting covariance matrix is positive semidefinite. Theoretical analysis, Monte Carlo simulations, and empirical applications demonstrate that the proposed estimator is consistent, exhibits strong finite-sample performance, and enables robust and feasible statistical inference.