Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

DOI10.1080/07474930701873341zbMath1359.62514OpenAlexW1998607901MaRDI QIDQ3539874

Jim E. Griffin, Roel C. A. Oomen

Publication date: 19 November 2008

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

Full work available at URL: https://doi.org/10.1080/07474930701873341

zbMATH Keywords

market microstructure noiserealized varianceoptimal samplingpure jump processtransaction timetick time

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (20)

Discovering stock dynamics through multidimensional volatility phases ⋮ Testing for jumps when asset prices are observed with noise -- a ``swap variance approach ⋮ Out of sample forecasts of quadratic variation ⋮ Between complexity of modelling and modelling of complexity: an essay on econophysics ⋮ Dependent microstructure noise and integrated volatility estimation from high-frequency data ⋮ Goodness of fit test for ergodic diffusions by tick time sample scheme ⋮ Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas ⋮ Central limit theorem for the realized volatility based on tick time sampling ⋮ Zero-intelligence realized variance estimation. ⋮ Realized Volatility: A Review ⋮ Moving Average-Based Estimators of Integrated Variance ⋮ Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme ⋮ VOLATILITY AND COVARIATION ESTIMATION WHEN MICROSTRUCTURE NOISE AND TRADING TIMES ARE ENDOGENOUS ⋮ Jump-robust volatility estimation using nearest neighbor truncation ⋮ Subsampling high frequency data ⋮ Realized volatility with stochastic sampling ⋮ Variable diffusion in stock market fluctuations ⋮ Covariance measurement in the presence of non-synchronous trading and market microstructure noise ⋮ Ultra high frequency volatility estimation with dependent microstructure noise ⋮ On the Study of Two Models for Integer-Valued High-Frequency Data

Cites Work

• Modeling and Forecasting Realized Volatility
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• A Tale of Two Time Scales

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