Autor(en): | Dette, Holger Golosnoy, Vasyl Kellermann, Janosch |
Titel: | The effect of intraday periodicity on realized volatility measures |
Sprache (ISO): | en |
Zusammenfassung: | U-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. |
Schlagwörter: | bipower variation realized volatility jump detection daily integrated volatility |
URI: | http://hdl.handle.net/2003/35301 http://dx.doi.org/10.17877/DE290R-17344 |
Erscheinungsdatum: | 2016 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
---|---|---|---|---|
DP_5516_SFB823_Dette_Golosnoy_Kellermann.pdf | DNB | 414.94 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt. rightsstatements.org