Bootstrapping Pre-averaged Realized Volatility Under Market Microstructure Noise PDF Download
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Author: Ulrich Hounyo
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ulrich Hounyo
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ulrich Hounyo
Publisher:
ISBN:
Category : Bootstrap (Statistics)
Languages : en
Pages : 46
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Author: Koomla Ulrich Hounyo
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Yacine Aït-Sahalia
Publisher:
ISBN: 9783865580849
Category : Assets (Accounting)
Languages : de
Pages : 41
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Book Description
We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.
Author: Ulrich Hounyo
Publisher:
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Category :
Languages : en
Pages :
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Author: Aristides Romero
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Category :
Languages : en
Pages :
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As a basic principle in statistics, a larger sample size is preferred whenever possible. Nonetheless, in the financial world, especially equities and currencies trading, including all available data poses great challenges due to the noise present in the volatility estimation. In his paper I examine the Two Time Scales Realized Volatility estimator by Zhang, Mykland, and Ait-Sahalia (2005b) and I find that it not only provides a more efficient estimator than a basic estimator of the integrated volatility of returns, but it also consistently estimates the microstructure noise present in the latent efficient return process. I find that by using this approach, it is possible to compare the efficiency of the prices of securities with lower transaction costs traded against those with higher transactions costs.
Author: Yacine Ait-Sahalia
Publisher:
ISBN:
Category :
Languages : en
Pages : 60
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Book Description
We analyze the impact of time series dependence in market microstructure noise on the properties of.
Author: Oliver Grothe
Publisher:
ISBN:
Category :
Languages : en
Pages : 47
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Book Description
Recent literature on realized volatility suggests that the observed price process of an asset may be decomposed into two parts: the unobservable, efficient price process and microstructure noise. In this article we present a methodology to sequentially estimate spot volatility from noisy data by separating these components. We use different liquidity-based measures, traded volume and quoted spread, for the noise variance of single price observations. Nonlinear Kalman filters provide us with sequential estimates of the unobservable price process and its parameters. Our approach is implemented in a continuous-discrete state space model to cope with irregular trading frequencies.
Author: Julien Chevallier
Publisher: Routledge
ISBN: 1351669087
Category : Business & Economics
Languages : en
Pages : 344
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Book Description
This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.
Author:
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Languages : en
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Book Description
Volatility functionals are widely used in financial econometrics. In the literature, they are estimated with realized volatility functionals using high-frequency data. In this paper we introduce a nonparametric local bootstrap method that resamples the high-frequency returns with replacement in local windows shrinking to zero. While the block bootstrap in time series (Hall et al., 1995) aims to reduce correlation, the local bootstrap is intended to eliminate the heterogeneity of volatility. We prove that the local bootstrap distribution of the studentized realized volatility functional is first-order accurate. We present Edgeworth expansions of the studentized realized variance with and without local bootstrapping in the absence of the leverage effect and jumps. The expansions show that the local bootstrap distribution of the studentized realized variance is second-order accurate. Extensive simulation studies verify the theory.
