Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/59492 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Working Paper No. 2011-09
Verlag: 
Rutgers University, Department of Economics, New Brunswick, NJ
Zusammenfassung: 
In 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 estimators of the aforementioned quantities, based on model free volatility estimators. We establish consistency and asymptotic normality for the feasible estimators and study their finite sample properties through a Monte Carlo experiment. Finally, using data from the New York Stock Exchange, we provide an empirical application to volatility directional predictability.
Schlagwörter: 
diffusions
realized volatility measures
kernels
microstructure noise
jumps
prediction
Dokumentart: 
Working Paper

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