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Realised quantile-based estimation of the integrated variance

  • Kim Christensen

    ()

  • Roel Oomen

    ()

    (Department of Quantitative Economics - The University of Amsterdam)

  • Mark Podolskij

    ()

In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the 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 high-frequency data. Simulations show that it has superior robustness properties in finite sample, while an empirical application illustrates its use on equity data.

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File URL: http://peer.ccsd.cnrs.fr/docs/00/73/25/38/PDF/PEER_stage2_10.1016%252Fj.jeconom.2010.04.008.pdf
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Paper provided by HAL in its series Post-Print with number peer-00732538.

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Date of creation: 15 Sep 2010
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Publication status: Published, Journal of Econometrics, 2010, 159, 1, 74
Handle: RePEc:hal:journl:peer-00732538
Note: View the original document on HAL open archive server: http://peer.ccsd.cnrs.fr/peer-00732538
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