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Realised Quantile-Based Estimation of the Integrated Variance

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Author Info
Kim Christensen () (Aarhus University and CREATES)
Roel Oomen () (Deutsche Bank, London, UK and the Department of Quantitative Economics, the University of Amsterdam, The Netherlands)
Mark Podolskij () (ETH Zürich, Switzerland and CREATES)

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Abstract

In this paper, we propose a new jump robust quantile-based realised variancemeasure of ex-post return variation that can be computed using potentially noisy data. This new estimator is consistent for integrated variance and we present feasible central limit theorems which show that it converges at the best attainable rate and has excellent efficiency. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in modified form the estimator is applicable with market microstructure noise and therefore operational on highfrequency data. Simulations show that it also has superior robustness properties in finite samples, while an empirical application illustrates its use on equity data.

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Publisher Info
Paper provided by School of Economics and Management, University of Aarhus in its series CREATES Research Papers with number 2009-27.

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Length: 54
Date of creation: 01 May 2009
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Handle: RePEc:aah:create:2009-27

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Web page: http://www.econ.au.dk/afn/

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Related research
Keywords: Finite activity jumps; Integrated variance; Market microstructure noise; Order statistics; Outliers; Realised variance;

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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