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ID 14537
file
Thumnail OWRV.pdf 465 KB
creator
金谷, 太郎
subject
Integrated (cross) volatility
Unevenly sampled observations
Fourier series estimator
Weighted realized volatility
NDC
Statistics
description
In this paper we define a class of estimators for cross-volatility (conditional covariance between two asset returns) by weighted sum of products of two return series. This class nests several estimators and each estimator is characterized by its weight matrix. We derive the MSE-minimizing weight and introduce a feasible example. Our method for measuring cross-volatility is well applicable to nonsynchronous observations.
journal title
CAEA Discussion Paper
issue
Issue 26
date of issued
2005-10
language
eng
nii type
Technical Report
HU type
Technical Reports/Working Papers
DCMI type
text
format
application/pdf
text version
author
relation is version of URL
http://www.kier.kyoto-u.ac.jp/coe21/result-DP.html
department
Graduate School of Social Sciences