Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31276
Full metadata record
DC FieldValueLanguage
dc.contributor.authorCorradi, Valentinaen_US
dc.contributor.authorDistaso, Walteren_US
dc.contributor.authorSwanson, Norman R.en_US
dc.date.accessioned2008-05-16en_US
dc.date.accessioned2010-05-14T11:01:36Z-
dc.date.available2010-05-14T11:01:36Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/31276-
dc.description.abstractIn recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned quantities. The kernel functions used in our analysis are based on different realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions under which the estimators are asymptotically equivalent to their unfeasible counterparts, based on the unobservable volatility process, is provided. Asymptotic normality is also established. The efficacy of the estimators is examined via Monte Carlo experimentation, and an empirical illustration based upon data from the New York Stock Exchange is provided.en_US
dc.language.isoengen_US
dc.publisher|aDep. of Economics, Rutgers, the State Univ. of New Jersey |cNew Brunswick, NJen_US
dc.relation.ispartofseries|aWorking papers // Department of Economics, Rutgers, the State University of New Jersey |x2006,16en_US
dc.subject.jelC22en_US
dc.subject.jelC53en_US
dc.subject.jelC14en_US
dc.subject.ddc330en_US
dc.subject.keywordConditional confidence intervalsen_US
dc.subject.keyworddiffusions, integrated volatilityen_US
dc.subject.keywordkernelsen_US
dc.subject.keywordmicrostructure noiseen_US
dc.subject.keywordrealized volatility measuresen_US
dc.titlePredictive inference for integrated volatilityen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn566315548en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

Files in This Item:
File
Size
2.06 MB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.