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Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

Persistent link: https://www.econbiz.de/10013090381

Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

Persistent link: https://www.econbiz.de/10011280711

Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional … cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson …-run dynamics. We derive the asymptotic distribution theory for the FDLS estimator of the cointegration vector in the stationary …

Persistent link: https://www.econbiz.de/10014067273

On the efficiency of stock markets: A case of selected OPEC member countries

Olubiyi, Ebenezer A.; Olopade, Peter O. - In: CBN Journal of Applied Statistics 09 (2018) 2, pp. 75-101

The study investigates the stock market efficiency of selected OPEC member countries within the context of random walk hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric (variance ratio: homoskedastic and heteroskedastic...

Persistent link: https://www.econbiz.de/10012229197

A local instrumental variable estimation method for generalized additive volatility models

Kim, Woocheol; Linton, Oliver - London School of Economics (LSE) - 2004

We investigate a new separable nonparametric model for time series, which includes many ARCH models and AR models already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric method of instrumental variables. Our method has...

Persistent link: https://www.econbiz.de/10010746316

Variation, jumps, market frictions and high frequency data in financial econometrics

Shephard, Neil; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2005

We will review the econometrics of non-parametric estimation of the components of the variation of asset prices. This very active literature has been stimulated by the recent advent of complete records of transaction prices, quote data and order books. In our view the interaction of the new data...

Persistent link: https://www.econbiz.de/10005047794

Tilted Nonparametric Estimation of Volatility Functions

Phillips, Peter C.B.; Xu, Ke-Li - Cowles Foundation for Research in Economics, Yale University - 2007

This paper proposes a novel positive nonparametric estimator of the conditional variance function without reliance on logarithmic or other transformations. The estimator is based on an empirical likelihood modification of conventional local level nonparametric regression applied to squared mean...

Persistent link: https://www.econbiz.de/10005093922

The Stability and Volatility of Electricity Prices: An Illustration of (lambda, sigma-2) Analysis

Bask, Mikael; Widerberg, Anna - Nationalekonomiska institutionen, Handelshögskolan - 2007

The aim of this letter is to discuss and illustrate what we call (lambda, sigma-2)analysis, which is a method to distinguish between the stability of a stochastic dynamic system and the volatility of a variable generated by this system. It is also emphasized that this method is able to generate...

Persistent link: https://www.econbiz.de/10005651613

Market Structure and the Stability and Volatility of Electricity Prices

Bask, Mikael; Widerberg, Anna - Nationalekonomiska institutionen, Handelshögskolan - 2008

By using a novel approach in this paper,(lambda,sigma²)-analysis, we have found that electricity prices most of the time have increased in stability and decreased in volatility when the Nordic power market has expanded and the degree of competition has increased. That electricity prices at Nord...

Persistent link: https://www.econbiz.de/10005651763