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2010-07-22Buch DOI: 10.18452/4266
Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps
dc.contributor.authorHautsch, Nikolaus
dc.contributor.authorPodolskij, Mark
dc.date.accessioned2017-06-16T00:11:00Z
dc.date.available2017-06-16T00:11:00Z
dc.date.created2010-09-09
dc.date.issued2010-07-22
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4918
dc.description.abstractThis paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded at the NYSE, we analyze the estimators’ sensitivity to the choice of the pre-averaging bandwidth and suggest an optimal interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we provide guidance for optimal implementation of pre-averaging estimators and discuss potential pitfalls in practice.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectQuadratic Variationeng
dc.subjectMarket Microstructure Noiseeng
dc.subjectPre-averagingeng
dc.subjectSampling Schemeseng
dc.subjectJumpseng
dc.subject.ddc330 Wirtschaft
dc.titlePre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps
dc.typebook
dc.subtitleTheory, Implementation, and Empirical Evidence
dc.identifier.urnurn:nbn:de:kobv:11-100174443
dc.identifier.doihttp://dx.doi.org/10.18452/4266
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages56
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue38
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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