Most Efficient Homogeneous Volatility Estimators

Bridge Homogeneous Volatility Estimators

Efficient Frontier - Comparing Different Volatility Estimators

Abstract—Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and c...

Aggregation of Nonparametric Estimators for Volatility Matrix

An aggregated method of nonparametric estimators based on time-domain and statedomain estimators is proposed and studied. To attenuate the curse of dimensionality, we propose a factor modeling strategy. We first investigate the asymptotic behavior of nonparametric estimators of the volatility matrix in the time domain and in the state domain. Asymptotic normality is separately established for n...

Data-based ranking of realised volatility estimators

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 → ∞), and show that forecast evaluation tests may be adapted to the problem of ranking these estimators. The proposed methods avoid making specific assumptions ab...

Efficient Single Frequency Estimators

The estimation of the frequency of a single sinusoid embedded in additive white Gaussian noise is one of the classical problems of signal processing. It has importance in many applications in communications, where frequency estimation is used for decoding, and in radar processing and sonar processing. The problem of frequency estimation has been widely explored, but there is still room for a be...