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Data-based ranking of realised volatility estimators

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  • Patton, Andrew J.

Abstract

This paper presents new methods for comparing the accuracy of estimators of the quadratic variation of a price process. I provide conditions under which the relative accuracy of competing estimators can be consistently estimated (as T-->[infinity]), and show that forecast evaluation tests may be adapted to the problem of ranking these estimators. The proposed methods avoid making specific assumptions about microstructure noise, and facilitate comparisons of estimators that would be difficult using methods from the extant literature, such as those based on different sampling schemes. An application to high frequency IBM data between 1996 and 2007 illustrates the new methods.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 161 (2011)
Issue (Month): 2 (April)
Pages: 284-303

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Handle: RePEc:eee:econom:v:161:y:2011:i:2:p:284-303

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Web page: http://www.elsevier.com/locate/jeconom

Related research

Keywords: Realized variance Volatility forecasting Forecast comparison;

References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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Citations

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Cited by:
  1. Piotr Fiszeder & Grzegorz Perczak, 2013. "A new look at variance estimation based on low, high and closing prices taking into account the drift," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 67(4), pages 456-481, November.
  2. Kevin Sheppard & Lily Liu & Andrew J. Patton, 2013. "Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes," Economics Series Working Papers 645, University of Oxford, Department of Economics.
  3. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
  4. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
  5. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.

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