کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096769 | 1376549 | 2011 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Box-Cox transforms for realized volatility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Box-Cox transforms for realized volatility Box-Cox transforms for realized volatility](/preview/png/5096769.png)
چکیده انگلیسی
The main goal of this paper is to study the accuracy of a new class of transformations for realized volatility based on the Box-Cox transformation. This transformation is indexed by a parameter β and contains as special cases the log (when β=0) and the raw (when β=1) versions of realized volatility. Based on the theory of Edgeworth expansions, we study the accuracy of the Box-Cox transforms across different values of β. We derive an optimal value of β that approximately eliminates skewness. We then show that the corresponding Box-Cox transformed statistic outperforms other choices of β, including β=0 (the log transformation). We provide extensive Monte Carlo simulation results to compare the finite sample properties of different Box-Cox transforms. Across the models considered in this paper, one of our conclusions is that β=â1 (i.e. relying on the inverse of realized volatility also known as realized precision) is the best choice if we want to control the coverage probability of 95% level confidence intervals for integrated volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 160, Issue 1, January 2011, Pages 129-144
Journal: Journal of Econometrics - Volume 160, Issue 1, January 2011, Pages 129-144
نویسندگان
SÃlvia Gonçalves, Nour Meddahi,