Search Results - subject:"Realized range-based variance"

Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - 2006

range-based variance and propose a bias-correction to the rangestatistic. The new estimator is shown to be consistent for … noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010296767

Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - Institut für Wirtschafts- und Sozialstatistik, … - 2006

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009219806

Impact of open interest on realized volatility in oil futures

Chung, Huimin; Tseng, Tseng-chan; Chen, Chi-yuan - In: The empirical economics letters : a monthly … 12 (2013) 8, pp. 853-860

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010363101

Modeling Jump and Continuous Components in the Volatility of Oil Futures

Tseng, Tseng-Chan; Chung, Huimin; Huang, Chin-Sheng - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 3, pp. 1671-1671

In this study, we use the 'heterogeneous autoregressive' (HAR) model and replace all squared returns with a squared range to estimate realized range-based volatility (RRV) forecasts for oil futures prices. Our findings demonstrate that the HAR-RRV models, involving volatility measures with a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005046514

Bias-correcting the realized range-based variance in the presence of market microstructure noise

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - In: Finance and Stochastics 13 (2009) 2, pp. 239-268

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005613461