Moving Average-Based Estimators of Integrated Variance

DOI10.1080/07474930701853640MaRDI QIDQ3539864zbMATH OpenOpenAlexFDO

Authors Peter Reinhard Hansen, Jeremy Large, 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

bias correctionhigh-frequency dataintegrated variancemoving averagerealized variancerealized volatility

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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

Cited in

(21)

• Dependent microstructure noise and integrated volatility estimation from high-frequency data
• Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading
• Zero-intelligence realized variance estimation.
• A Markov chain estimator of multivariate volatility from high frequency data
• A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
• The benefits of bagging for forecast models of realized volatility
• Efficient estimation of integrated volatility incorporating trading information
• Realized Volatility and Long Memory: An Overview
• Realized Volatility: A Review
• scientific article; zbMATH DE number 4126532 (Why is no real title available?)
• Modelling and forecasting noisy realized volatility
• Switching processes in financial markets
• On the exponentially weighted moving variance
• The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
• Bias-corrected realized variance
• Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach
• Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence
• 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

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