Data-Based Ranking of Integrated Variance Estimators Across Size Deciles

• 발행기관: 한국계량경제학회
• 저자명: Benjamin Carlston
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.28 No.1, 21~48쪽, 전체 28쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2017.03.30

영문 초록

In recent years, there has been an explosion of research on the volatility of stock returns. As high frequency stock price data became more readily available, there have been many proposed estimators of integrated variance which attempt to take advantage of the informational gains of high-frequency data while minimizing any potential biases that arise from sampling at such a fine scale. These estimators rely on various assumptions about the price process which can make them difficult to compare theoretically. Relying on the methods of Patton (2011a), this paper analyzes the performance of five different classes of integrated variance estimators when applied to various stocks of differing market capitalization in an attempt to discover the circumstances under which one estimator should be chosen over another.

목차

1. INTRODUCTION

2. RANKING METHOD

3. IV ESTIMATORS

4. IMPLEMENTATION

5. RESULTS

6. CONCLUSION

키워드

Integrated Volatility Forecast Evaluation