A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to highfrequency commodity prices.

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Year of publication:	2015-03-30
Authors:	Hansen, Peter Reinhard ; Horel, Guillaume ; Lunde, Asger ; Archakov, Ilya
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Markov chain \| Multivariate Volatility \| Quadratic Variation \| Integrated Variance \| Realized Variance \| High Frequency Data

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Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Notes:	3 pages long
Classification:	C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C80 - Data Collection and Data Estimation Methodology; Computer Programs. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011268024