Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/307917 
Erscheinungsjahr: 
2022
Quellenangabe: 
[Journal:] Metrika [ISSN:] 1435-926X [Volume:] 86 [Issue:] 3 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2022 [Pages:] 315-342
Verlag: 
Springer, Berlin, Heidelberg
Zusammenfassung: 
We focus on estimating daily integrated volatility ( IV ) by realized measures based on intraday returns following a discrete-time stochastic model with a pronounced intraday periodicity (IP). We demonstrate that neglecting the IP-impact on realized estimators may lead to invalid statistical inference concerning IV for a common finite number of intraday returns. For a given IP functional form, we analytically derive robust IP-correction factors for realized measures of IV as well as their asymptotic distributions. We show both in Monte Carlo simulations and empirically that the proposed bias corrections are the robust way to account for IP by computing realized estimators.
Schlagwörter: 
Bipower variation
Integrated volatility
Integrated quarticity
Intraday periodicity
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