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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - Center for Financial Studies - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of preaveraging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10010958809
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of preaveraging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10010303682
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10010281504
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Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Hautsch, Nikolaus; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10008490350
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Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence
Hautsch, Nikolaus; Podolskij, Mark - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10008461100
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Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10010640724
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Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10010318777
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Estimating the quadratic covariation matrix from noisy observations : local method of moments and efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10009738265
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Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents of the S&P 500 over a four-year period covering the 2008 financial...
Persistent link: https://www.econbiz.de/10010617848
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The Merit of High-Frequency Data in Portfolio Allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10010587713