کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096863 1376554 2010 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Realised quantile-based estimation of the integrated variance
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Realised quantile-based estimation of the integrated variance
چکیده انگلیسی
In this paper, we propose a new jump-robust quantile-based realised variance measure of ex post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present feasible central limit theorems which show that it converges at the best attainable rate and has excellent efficiency. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in modified form the estimator is applicable with market microstructure noise and therefore operational on high-frequency data. Simulations show that it has superior robustness properties in finite sample, while an empirical application illustrates its use on equity data.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 159, Issue 1, November 2010, Pages 74-98
نویسندگان
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