Realized range-based estimation of integrated variance

DOI10.1016/J.JECONOM.2006.06.012zbMATH Open1418.62294OpenAlexW2081845631MaRDI QIDQ289157FDOQ289157

Authors: Kim Christensen, Mark Podolskij 

Publication date: 27 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.06.012

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zbMATH Keywords

central limit theoremcontinuous semimartingalesintegrated variancerealized range-based variancerealized variance

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)

Cites Work

• The pricing of options and corporate liabilities
• The Distribution of Realized Exchange Rate Volatility
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Tale of Two Time Scales
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• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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• Estimating variance from high, low and closing prices
• Power Variation and Time Change
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• On mixing and stability of limit theorems
• Title not available (Why is that?)
• Variation, jumps and high-frequency data in financial econometrics

Cited In (43)

• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• Moving Average-Based Estimators of Integrated Variance
• Volatility estimation based on high-frequency data
• Realised quantile-based estimation of the integrated variance
• A closed-form formula characterization of the Epps effect
• Volatility forecast comparison using imperfect volatility proxies
• Using information quality for volatility model combinations
• Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
• Realized Volatility
• Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
• Forecast the realized range-based volatility: the role of investor sentiment and regime switching
• Bias-corrected realized variance
• Zero-intelligence realized variance estimation.
• A closed-form quasi-maximum likelihood estimator of bid-ask spread
• Measuring volatility with the realized range
• Extended stochastic volatility models incorporating realised measures
• Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach
• High-frequency asymptotics for path-dependent functionals of Itô semimartingales
• Horizon effect in the term structure of long-run risk-return trade-offs
• Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
• Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
• Volatility estimation and jump testing via realized information variation
• Bias-correcting the realized range-based variance in the presence of market microstructure noise
• An unbiased measure of integrated volatility in the frequency domain
• On the estimation of integrated volatility in the presence of jumps and microstructure noise
• Jump-robust volatility estimation using nearest neighbor truncation
• Volatility contagion: a range-based volatility approach
• Semiparametric GARCH via Bayesian Model Averaging
• Optimal nonparametric range-based volatility estimation
• Discrete sine transform for multi-scale realized volatility measures
• Central limit theorems of range-based estimators for diffusion models
• Forecasting risk via realized GARCH, incorporating the realized range
• Statistical inference for GQARCH-Itô-jumps model based on the realized range volatility
• Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
• A note on the central limit theorem for bipower variation of general functions
• Efficient estimation of integrated volatility and related processes
• Determining the integrated volatility via limit order books with multiple records
• Measuring downside risk -- realized semivariance
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• Data-based ranking of realised volatility estimators
• A Markov chain estimator of multivariate volatility from high frequency data
• A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
• Three-point approach for estimating integrated volatility and integrated covariance

Uses Software

• Ox

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