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Finite sample accuracy of integrated volatility estimators
Nielsen, Morten Ørregaard; Houmann Frederiksen, Per - 2005
estimator, and the wavelet estimator, when a typical sample of high-frequency data is observed. We employ several different … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful …
Persistent link: https://www.econbiz.de/10010290394
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Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
Nielsen, Morten Ørregaard; Frederiksen, Per - 2005
differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both …-periodogram regression estimators are shown to be more robust to short-run dynamics than other semiparametric (frequency domain and wavelet … wavelet based estimators are heavily biased. …
Persistent link: https://www.econbiz.de/10010290342
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Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
Nielsen, Morten Ørregaard; Frederiksen, Per - Economics Department, Queen's University - 2005
differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both …-periodogram regression estimators are shown to be more robust to short-run dynamics than other semiparametric (frequency domain and wavelet … wavelet based estimators are heavily biased. …
Persistent link: https://www.econbiz.de/10005688402
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the … observed noisy price processes. Since wavelet coefficients are significantly larger at the jump locations than the others, we … calibrate the wavelet coefficients through a threshold and declare jump points if the absolute wavelet coefficients exceed the …
Persistent link: https://www.econbiz.de/10011568279
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Jump-robust volatility estimation using nearest neighbor truncation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - 2010
We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...
Persistent link: https://www.econbiz.de/10010283530
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Comparaison of several estimation procedures for long term behavior.
Guegan, Dominique; Lu, Zhiping; Zhu, BeiJia - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
estimation and an upper-and-lower scale trimming strategy for the wavelet domain estimation from a practical stand-point. The …
Persistent link: https://www.econbiz.de/10009492765
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Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013
The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on the pre-averaging approach of Jacod et al. (2009), where the pre-averaging is done over all possible overlapping blocks of consecutive observations. The overlapping nature of the...
Persistent link: https://www.econbiz.de/10010851203
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Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2013
The main contribution of this paper is to propose a new bootstrap method for statistics based on high frequency returns. The new method exploits the local Gaussianity and the local constancy of volatility of high frequency returns, two assumptions that can simplify inference in the high...
Persistent link: https://www.econbiz.de/10010851268
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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - School of Economics and Management, University of Aarhus - 2015
The main contribution of this paper is to establish the formal validity of Edgeworth expansions for realized volatility estimators. First, in the context of no microstructure effects, our results rigorously justify the Edgeworth expansions for realized volatility derived in Gonalves and Meddahi...
Persistent link: https://www.econbiz.de/10011274511
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Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - School of Economics and Management, University of Aarhus - 2009
We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...
Persistent link: https://www.econbiz.de/10008472103