| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15533 |
| 来源ID | Working Paper 15533 |
| Jump-Robust Volatility Estimation using Nearest Neighbor Truncation | |
| Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg | |
| 发表日期 | 2009-11-19 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We propose two new jump-robust estimators of integrated variance based on high-frequency 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 efficiency properties than the tripower variation measure and displays better finite-sample robustness to both jumps and the occurrence of "zero'' returns in the sample. Unlike the bipower variation measure, the new estimators allow for the development of an asymptotic limit theory in the presence of jumps. Finally, they retain the local nature associated with the low order multipower variation measures. This proves essential for alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump-robust estimators based on longer blocks of returns. An empirical investigation of the Dow Jones 30 stocks and an extensive simulation study corroborate the robustness and efficiency properties of the new estimators. |
| 主题 | Econometrics ; Estimation Methods ; Data Collection ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w15533 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573209 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Dobrislav Dobrev,Ernst Schaumburg. Jump-Robust Volatility Estimation using Nearest Neighbor Truncation. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15533.pdf（1014KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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