کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095791 | 1376484 | 2015 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
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چکیده انگلیسی
We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data (“realized measures”), and compare them with a simple “realized variance” (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 187, Issue 1, July 2015, Pages 293-311
Journal: Journal of Econometrics - Volume 187, Issue 1, July 2015, Pages 293-311
نویسندگان
Lily Y. Liu, Andrew J. Patton, Kevin Sheppard,