Moving Average-Based Estimators of Integrated Variance

DOI10.1080/07474930701853640zbMath1148.62088OpenAlexW1991102458MaRDI QIDQ3539864

Jeremy Large, Peter Reinhard Hansen, Asger Lunde

Publication date: 19 November 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701853640

zbMATH Keywords

high-frequency databias correctionmoving averagerealized volatilityintegrated variancerealized variance

Mathematics Subject Classification ID

Related Items (18)

A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries ⋮ Efficient estimation of integrated volatility incorporating trading information ⋮ Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ A Markov Chain Estimator of Multivariate Volatility from High Frequency Data ⋮ Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach ⋮ Zero-intelligence realized variance estimation. ⋮ Modelling and forecasting noisy realized volatility ⋮ Realized Volatility and Long Memory: An Overview ⋮ Realized Volatility: A Review ⋮ Switching processes in financial markets ⋮ The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise ⋮ The Benefits of Bagging for Forecast Models of Realized Volatility ⋮ Realised quantile-based estimation of the integrated variance ⋮ Quasi-maximum likelihood estimation of volatility with high frequency data ⋮ Estimating quadratic variation when quoted prices change by a constant increment ⋮ Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading ⋮ Bias-corrected realized variance

Cites Work

• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Conditional Likelihood Ratio Test for Structural Models
• Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
• A Tale of Two Time Scales

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