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dc.contributor.authorCorradi, Valentinaen
dc.contributor.authorDistaso, Walteren
dc.contributor.authorSwanson, Norman R.en
dc.date.accessioned2008-05-16-
dc.date.accessioned2010-05-14T11:01:39Z-
dc.date.available2010-05-14T11:01:39Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/31280-
dc.description.abstractThe main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev and Meddahi (2004, 2005), who address the issue of pointwise prediction of volatility via ARMA models, based on the use of realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of the predictive density of daily volatility. We show that, by choosing an appropriate realized measure, one can achieve consistent estimation, even in the presence of jumps and microstructure noise in prices. More precisely, we establish that four well known realized measures, i.e. realized volatility, bipower variation, and two measures robust to microstructure noise, satisfy the conditions required for the uniform consistency of our estimator. Furthermore, we outline an alternative simulation based approach to predictive density construction. Finally, we carry out a simulation experiment in order to assess the accuracy of our estimators, and provide an empirical illustration that underscores the importance of using microstructure robust measures when using high frequency data.en
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2006-20en
dc.subject.jelC22en
dc.subject.jelC53en
dc.subject.jelC14en
dc.subject.ddc330en
dc.subject.keywordDiffusionsen
dc.subject.keywordintegrated volatilityen
dc.subject.keywordkernelsen
dc.subject.keywordmicrostructure noiseen
dc.subject.keywordrealized volatility measuresen
dc.titlePredictive density estimators for daily volatility based on the use of realized measures-
dc.type|aWorking Paperen
dc.identifier.ppn566316633en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:200620en

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