Correcting intraday periodicity bias in realized volatility measures

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dc.contributor.authorDette, Holger
dc.contributor.authorGolosnoy, Vasyl
dc.contributor.authorKellermann, Janosch
dc.date.accessioned2020-07-17T14:40:48Z
dc.date.available2020-07-17T14:40:48Z
dc.date.issued2020
dc.description.abstractDiurnal fluctuations in volatility are a well-documented stylized fact of intraday price data. We investigate how this intraday periodicity (IP) affects both finite sample as well as asymptotic properties of several popular realized estimators of daily integrated volatility which are based on functionals of M intraday returns. We demonstrate that most of the estimators considered in our study exhibit a finite-sample bias due to IP, which can however get negligible if the number of intraday returns diverges to infinity. We suggest appropriate correction factors for this bias based on estimates of the IP. The adequacy of the new corrections is evaluated by means of a Monte Carlo simulation study and an empirical example.en
dc.identifier.urihttp://hdl.handle.net/2003/39209
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-21126
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;21/2020
dc.subjectintegrated volatilityen
dc.subjectsimulation-based methodsen
dc.subjectintraday periodicityen
dc.subjectrealized measuresen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleCorrecting intraday periodicity bias in realized volatility measuresen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access
eldorado.secondarypublicationfalsede

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