کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096538 | 1376533 | 2011 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Data-based ranking of realised volatility estimators
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper presents new methods for comparing the accuracy of estimators of the quadratic variation of a price process. I provide conditions under which the relative accuracy of competing estimators can be consistently estimated (as Tââ), and show that forecast evaluation tests may be adapted to the problem of ranking these estimators. The proposed methods avoid making specific assumptions about microstructure noise, and facilitate comparisons of estimators that would be difficult using methods from the extant literature, such as those based on different sampling schemes. An application to high frequency IBM data between 1996 and 2007 illustrates the new methods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 161, Issue 2, 1 April 2011, Pages 284-303
Journal: Journal of Econometrics - Volume 161, Issue 2, 1 April 2011, Pages 284-303
نویسندگان
Andrew J. Patton,