dc.contributor.author | Andreou, Elena | en |
dc.contributor.author | Ghysels, Eric | en |
dc.creator | Andreou, Elena | en |
dc.creator | Ghysels, Eric | en |
dc.date.accessioned | 2019-05-03T05:21:46Z | |
dc.date.available | 2019-05-03T05:21:46Z | |
dc.date.issued | 2002 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47086 | |
dc.description.abstract | We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. We treat integrated volatility as a continuous time stochastic process sampled at high frequencies and suggest rolling sample estimators which share many features with spot volatility estimators. We discuss asymptotically efficient window lengths and weighting schemes for estimators of the quadratic variation and establish links between various spot and integrated volatility estimators. Theoretical results are complemented with extensive Monte Carlo simulations and an empirical investigation. | en |
dc.language.iso | eng | en |
dc.source | Journal of Business and Economic Statistics | en |
dc.subject | High-frequency data | en |
dc.subject | Quadratic variation | en |
dc.subject | Continuous record asymptotics | en |
dc.subject | Efficient filtering | en |
dc.subject | Rolling sample estimators | en |
dc.subject | Volatility | en |
dc.title | Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1198/073500102288618504 | |
dc.description.volume | 20 | |
dc.description.startingpage | 363 | |
dc.description.endingpage | 376 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.description.totalnumpages | 363-376 | |