Optimally Weighted Realized Volatility
CAEA Discussion Paper Issue 26
published_at 2005-10
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この文献の参照には次のURLをご利用ください : https://ir.lib.hiroshima-u.ac.jp/00014537
File |
OWRV.pdf
465 KB
種類 :
fulltext
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Title ( eng ) |
Optimally Weighted Realized Volatility
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Creator |
金谷 太郎
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Source Title |
CAEA Discussion Paper
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Issue | 26 |
Keywords |
Integrated (cross) volatility
Unevenly sampled observations
Fourier series estimator
Weighted realized volatility
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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.
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NDC |
Statistics [ 350 ]
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Language |
eng
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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
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