Estimating the Volatility of Discrete Stock Prices
AbstractThis paper introduces an estimator of stock price volatility which eliminates, at least asymptotically , the biases that are caused by the discreteness of observed stock pr ices. Assuming that the observed stock prices are continuously monito red, an estimator is constructed using the notion of how quickly the price changes rather than how much the price changes. It is shown tha t this estimator has desirable asymptotic properties, including consi stency and normality. Also, through a simulation study, the authors s how that it outperforms natural estimators for low and middle priced stocks. Further, the simulation study demonstrates that the proposed estimator is robust to certain misspecifications in measuring the tim e between price changes. Copyright 1988 by American Finance Association.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 43 (1988)
Issue (Month): 2 (June)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Bertrand B. Maillet & Jean-Philippe R. Médecin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
- Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992.
"An ordered probit analysis of transaction stock prices,"
Journal of Financial Economics,
Elsevier, vol. 31(3), pages 319-379, June.
- Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, Archie Craig, 1955-, 1990. "An ordered probit analysis of transaction stock prices," Working papers 3234-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Jerry A. Hausman & Andrew W. Lo & A. Craig MacKinlay, 1991. "An Ordered Probit Analysis of Transaction Stock Prices," NBER Working Papers 3888, National Bureau of Economic Research, Inc.
- Hausman, J.A. & Lo, A.W. & MacKinlay, A.C., 1991. "An Ordered Probit Analysis of Transaction Stock Prices," Weiss Center Working Papers 26-91, Wharton School - Weiss Center for International Financial Research.
- Weaver, Robert D & Natcher, William C, 2000. "Commodity Price Volatility under New Market Orientations," MPRA Paper 9862, University Library of Munich, Germany.
- Pandey, Ajay, . "Modeling and Forecasting Volatility in Indian Capital Markets," IIMA Working Papers WP2003-08-03, Indian Institute of Management Ahmedabad, Research and Publication Department.
- Nikolaus Hautsch & Winfried Pohlmeier, 2001. "Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities," CoFE Discussion Paper 01-05, Center of Finance and Econometrics, University of Konstanz.
- Frank Gerhard & Nikolaus Hautsch, 1999.
"Volatility Estimation on the Basis of Price Intensities,"
CoFE Discussion Paper
99-19, Center of Finance and Econometrics, University of Konstanz.
- Gerhard, Frank & Hautsch, Nikolaus, 2002. "Volatility estimation on the basis of price intensities," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 57-89, January.
- Andrew W. Lo & A. Craig MacKinlay & June Zhang, 1997.
"Econometric Models of Limit-Order Executions,"
NBER Working Papers
6257, National Bureau of Economic Research, Inc.
- Andrew W. Lo & A. Craig MacKinlay & June Zhang, . "Econometric Models of Limit-Order Executions," Rodney L. White Center for Financial Research Working Papers 12-99, Wharton School Rodney L. White Center for Financial Research.
- Lau, Sie Ting & McInish, Thomas H., 1995. "Reducing tick size on the Stock Exchange of Singapore," Pacific-Basin Finance Journal, Elsevier, vol. 3(4), pages 485-496, December.
- Vuorenmaa, Tommi A., 2008. "Decimalization, Realized Volatility, and Market Microstructure Noise," MPRA Paper 8692, University Library of Munich, Germany.
- Antonios Antoniou & Constantinos E. Vorlow, 2004. "Price Clustering and Discreteness: Is there Chaos behind the Noise?," Papers cond-mat/0407471, arXiv.org.
- Hellström, Jörgen & Simonsen, Ola, 2006. "Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?," UmeÃ¥ Economic Studies 687, Umeå University, Department of Economics.
- Winfried Pohlmeier & Roman Liesenfeld, 2003. "A Dynamic Integer Count Data Model for Financial Transaction Prices," CoFE Discussion Paper 03-03, Center of Finance and Econometrics, University of Konstanz.
- Dubofsky, David, 1997. "Limit orders and ex-dividend day return distributions," Journal of Empirical Finance, Elsevier, vol. 4(1), pages 47-65, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.