Time-Varying Tail Behavior for Realized Kernels
نویسندگان
چکیده
منابع مشابه
Tail Dependence for Regularly Varying Time Series
We use tail dependence functions to study tail dependence for regularly varying RV time series. First, tail dependence functions about RV time series are deduced through the intensity measure. Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined. Finally, we obtain the expressions of the tail dependence parameters based...
متن کاملAdaptive Realized Kernels
We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the effi cient price and a semiparametric microstructure noise model specified at the highest frequency. Some time dependence parameters of the noise model must be estimated before adaptive realized kernels can be implemented. We study the...
متن کاملRealized volatility forecasting in the presence of time-varying noise
Observed high-frequency nancial prices can be considered as comprising two components, a true price and a market microstructure noise perturbation. It is an empirical regularity, coherent with classical market microstructure theories of price determination, that the second moment of market microstructure noise is time-varying. We study the optimal, from a nite-sample forecast MSE standpoint, ...
متن کاملToeplitz and Hankel kernels for estimating time-varying spectra of discrete-time random processes
For a nonstationary random process, the dual-time correlation function and the dual frequency Loéve spectrum are complete theoretical descriptions of second-order behavior. That is, each may be used to synthesize the random process itself, according to the Cramér–Loève spectral representation. When suitably transformed on one of its two variables, each of these descriptions produces a time-vary...
متن کاملApproximation Solutions for Time-Varying Shortest Path Problem
Abstract. Time-varying network optimization problems have tradition-ally been solved by specialized algorithms. These algorithms have NP-complement time complexity. This paper considers the time-varying short-est path problem, in which can be optimally solved in O(T(m + n)) time,where T is a given integer. For this problem with arbitrary waiting times,we propose an approximation algorithm, whic...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3429737