Optimally Weighted Realized Volatility

CAEA Discussion Paper Issue 26 published_at 2005-10
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Title ( eng )
Optimally Weighted Realized Volatility
Creator
金谷 太郎
Source Title
CAEA Discussion Paper
Issue 26
Keywords
Integrated (cross) volatility
Unevenly sampled observations
Fourier series estimator
Weighted realized volatility
Descriptions
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.
NDC
Statistics [ 350 ]
Language
eng
Resource Type technical report
Date of Issued 2005-10
Publish Type Author’s Original
Access Rights open access
Source Identifier
[URI] http://www.kier.kyoto-u.ac.jp/coe21/result-DP.html isVersionOf