The effect of intraday periodicity on realized volatility measures

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dc.contributor.authorDette, Holger
dc.contributor.authorGolosnoy, Vasyl
dc.contributor.authorKellermann, Janosch
dc.date.accessioned2016-10-28T08:57:43Z
dc.date.available2016-10-28T08:57:43Z
dc.date.issued2016
dc.description.abstractU-shaped intraday periodicity (IP) is a typical stylized fact characterizing intraday returns on risky assets. In this study we focus on the realized volatility and bipower variation estimators for daily integrated volatility (IV ) which are based on intraday returns following a discrete-time model with IP. We demonstrate that neglecting the impact of IP on realized estimators may lead to non-valid statistical inference concerning IV for the commonly available number of intraday returns, moreover, the size of daily jump tests may be distorted. Given the functional form of IP, we derive corrections for the realized measures of IV . We show in a Monte Carlo and an empirical study that the proposed corrections improve commonly point and interval estimators of the IV and tests for jumps.en
dc.identifier.urihttp://hdl.handle.net/2003/35301
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-17344
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB823;55, 2016en
dc.subjectbipower variationen
dc.subjectrealized volatilityen
dc.subjectjump detectionen
dc.subjectdaily integrated volatilityen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleThe effect of intraday periodicity on realized volatility measuresen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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