OPTIMAL WEIGHT FOR REALIZED VARIANCE BASED ON INTERMITTENT HIGH-FREQUENCY DATA*
نویسندگان
چکیده
منابع مشابه
An Optimal and Unbiased Measure of Realized Variance Based on Intermittent High-Frequency Data
We consider the problem of estimating a measure of daily volatility from intermittent high-frequency data that are subject to market microstructure effects. We show that a simple Newey-West type modification of the realized variance (RV) yields an unbiased measure of volatility for the ‘open’ part of the day. The modified RV is unbiased even if 1-minute intra-day returns are used. Further, with...
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Observed asset prices are known to deviate from their efficient values due to market microstructure frictions. This paper studies the effects of market microstructure noise on nonparametric estimates of the efficient price integrated variance. Specifically, we consider both asymptotic and finite sample effects of general market microstructure noise on realized variance estimates. The finite sam...
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Models which hypothesize that returns are pure jump processes with independent increments have been shown to be capable of capturing the observed variation of market prices of vanilla stock options across strike and maturity. In this paper, these models are employed to derive in closed form the prices of derivatives written on future realized quadratic variation. Alternative work on pricing der...
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A key problem in financial econometrics is the modeling, estimation and forecasting of conditional return volatility and correlation. Having accurate forecasting models for conditional volatility and correlation is important for accurate derivatives pricing, risk management and asset allocation decisions. It is well known that conditional volatility and correlation are highly predictable. An in...
متن کاملComment on “ An unbiased measure of realized variance ” and “ Realized variance and market microstructure noise ”
If efficient asset prices follow a semi-martingale and are perfectly observed, their quadratic variation can be measured accurately from the sum of a large number of squared returns sampled over very finely spaced intervals, i.e., realized variance (Andersen et al., 2003, and Barndorff-Nielsen and Shephard, 2002). With the emergence of high-frequency data, it seems that we should be able to ide...
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ژورنال
عنوان ژورنال: Japanese Economic Review
سال: 2011
ISSN: 1352-4739
DOI: 10.1111/j.1468-5876.2011.00552.x