| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w17152 |
| 来源ID | Working Paper 17152 |
| A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation | |
| Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg | |
| 发表日期 | 2011-06-16 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We provide a first in-depth look at robust estimation of integrated quarticity (IQ) based on high frequency data. IQ is the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of considerable interest in applications. We document the significant empirical challenges for IQ estimation posed by commonly encountered data imperfections and set forth three complementary approaches for improving IQ based inference. First, we show that many common deviations from the jump diffusive null can be dealt with by a novel filtering scheme that generalizes truncation of individual returns to truncation of arbitrary functionals on return blocks. Second, we propose a new family of efficient robust neighborhood truncation (RNT) estimators for integrated power variation based on order statistics of a set of unbiased local power variation estimators on a block of returns. Third, we find that ratio-based inference, originally proposed by Barndorff-Nielsen and Shephard, has desirable robustness properties and is well suited for our empirical applications. We confirm that the proposed filtering scheme and the RNT estimators perform well in our extensive simulation designs and in an application to the individual Dow Jones 30 stocks. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w17152 |
| 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/574826 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Dobrislav Dobrev,Ernst Schaumburg. A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation. 2011. |
| 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 | ||
| w17152.pdf（1755KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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