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On the correlation structure of microstructure noise : a financial economic approach
Diebold, Francis X.; Strasser, Georg - In: The review of economic studies 80 (2013) 4, pp. 1304-1337
Persistent link: https://www.econbiz.de/10010202113
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Nonparametric realized volatility estimation in the international equity markets
Vortelinos, Dimitrios I.; Thomakos, Dimitrios D. - In: International Review of Financial Analysis 28 (2013) C, pp. 34-45
Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of...
Persistent link: https://www.econbiz.de/10010666207
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Modeling Volatility & Jumps in the Athens Stock Exchange
Vortelinos, Dimitrios - Department of Economics, University of Peloponnese - 2009
In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE …), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state …-of-the-art realized volatility estimators which I then use in testing and modeling for volatility jumps in the General Index of the ASE …
Persistent link: https://www.econbiz.de/10008461728
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Measuring volatility with the realized range
van Dijk, Dick; Martens, Martens, M.P.E. - Faculteit der Economische Wetenschappen, Erasmus … - 2006
Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the high-low range for that period to create a novel and more efficient estimator called the...
Persistent link: https://www.econbiz.de/10010837783
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Measuring volatility with the realized range
Martens, M.P.E.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2006
Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the high-low range for that period to create a novel and more efficient estimator called the...
Persistent link: https://www.econbiz.de/10004972248
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Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Pooter, Michiel de; Martens, Martin; Dijk, Dick van - In: Econometric Reviews 27 (2008) 1-3, pp. 199-229
portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the … optimal sampling frequency as judged by the performance of these portfolios. The optimal sampling frequency ranges between 30 … striking a balance between the variance and bias in covariance matrix estimates due to market microstructure effects such as …
Persistent link: https://www.econbiz.de/10005511901
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The Economic Value of Volatility Timing in the Athens Stock Exchange
Vortelinos, Dimitrios - Department of Economics, University of Peloponnese - 2009
This paper examines the economic value of various realized volatility and covariance estimators under the strategy of … volatility timing. There are used three types of portfolios: Global Minimum Variance, Capital Market Line kai Capital Market Line …-frequency intraday data. The dataset concerns the FTSE-20, FTSE-40 and FTSE-80 indices of the Athens Stock Exchange (ASE). As far as I …
Persistent link: https://www.econbiz.de/10008461727
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Pricing Nikkei 225 Options Using Realized Volatility
Ubukata, Masato; Watanabe, Toshiaki - Institute for Monetary and Economic Studies, Bank of Japan - 2011
This article analyzes whether daily realized volatility, which is the sum of squared intraday returns over a day, is useful for option pricing. Different realized volatilities are calculated with or without taking account of microstructure noise and with or without using overnight and lunch-time...
Persistent link: https://www.econbiz.de/10009249154
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Pricing Nikkei 225 Options Using Realized Volatility
Ubukata, Masato; Watanabe, Toshiaki - Institute of Economic Research, Hitotsubashi University - 2013
This article examines option pricing performance using realized volatilities with or without handling microstructure noise, non-trading hours and large jumps. The dynamics of realized volatility is specified by ARFIMA(X) and HAR(X) models. Main results using put options on the Nikkei 225 index...
Persistent link: https://www.econbiz.de/10010614080
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Noise Reduced Realized Volatility: A Kalman Filter Approach
Owens, John; Steigerwald, Douglas G - Department of Economics, University of California-Santa … - 2009
Microstructure noise contaminates high-frequency estimates of asset price volatility. Recent work has determined a preferred sampling frequency under the assumption that the properties of noise are constant. Given the sampling frequency, the high-frequency observations are given equal weight....
Persistent link: https://www.econbiz.de/10010538394