Realized Volatility Estimator Under Liquidity Effects

We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured by the impact of the trading volume on the asset price. We find that this estimator is inconsistent but convergent in probability. Motivated by this fact, we propose a new estimator which is consistent and asymptotically unbiased under a linear economy. Finally, our results are validated by a simulation and an empirical study

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Year of publication:	2020
Authors:	Allaj, Erindi
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Schätztheorie \| Estimation theory \| Liquiditätseffekt \| Liquidity effect \| Zeitreihenanalyse \| Time series analysis \| Schätzung \| Estimation \| Liquidität \| Liquidity \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (35 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 26, 2019 erstellt
Other identifiers:	10.2139/ssrn.3509894 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012845334