Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
نویسندگان
چکیده
منابع مشابه
WORKING PAPERS SERIES WP04-15 Properties of Bias Corrected Realized Variance Under Alternative Sampling Schemes
In this paper I study the statistical properties of a bias corrected realized variance measure when high frequency asset prices are contaminated with market microstructure noise. The analysis is based on a pure jump process for asset prices and explicitly distinguishes among different sampling schemes, including calendar time, business time, and transaction time sampling. Two main findings emer...
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The aim of this study is to develop a bias-correction method for realized variance (RV) estimation, where the equilibrium price process is contaminated with market microstructure noise, such as bid-ask bounces and price changes discreteness. Though RV constitutes the simplest estimator of daily integrated variance, it remains strongly biased and many estimators proposed in previous studies requ...
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In this paper I study the statistical properties of a bias corrected realized variance measure when high frequency asset prices are contaminated with market microstructure noise. The analysis is based on a pure jump process for asset prices and explicitly distinguishes among different sampling schemes. Two important findings emerge from the theoretical and empirical analysis. Firstly, business ...
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Observed asset prices are known to deviate from their efficient values due to market microstructure frictions. This paper studies the effects of market microstructure noise on nonparametric estimates of the efficient price integrated variance. Specifically, we consider both asymptotic and finite sample effects of general market microstructure noise on realized variance estimates. The finite sam...
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In this paper we study the impact of market microstructure effects on the properties of realized variance using a pure jump process for high frequency security prices. Closed form expressions for the bias and mean squared error of realized variance are derived under alternative sampling schemes. Importantly, we show that business time sampling is generally superior to the common practice of cal...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2005
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbi027