Forecasting return volatility in the presence of microstructure noise
نویسندگان
چکیده
منابع مشابه
Forecasting return volatility in the presence of microstructure noise
Measuring and forecasting volatility of asset returns is very important for asset trading and risk management. There are various forms of volatility estimates, including implied volatility, realized volatility and volatility assumed under stochastic volatility models and GARCH models. Research has shown that these different methods are closely related but have different perspectives, strengths ...
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Observed high-frequency nancial prices can be considered as comprising two components, a true price and a market microstructure noise perturbation. It is an empirical regularity, coherent with classical market microstructure theories of price determination, that the second moment of market microstructure noise is time-varying. We study the optimal, from a nite-sample forecast MSE standpoint, ...
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ژورنال
عنوان ژورنال: Statistics and Its Interface
سال: 2010
ISSN: 1938-7989,1938-7997
DOI: 10.4310/sii.2010.v3.n2.a2