A Bias Correction Method for Realized Covariance Calculated Using Previous Tick Interpolation, Preliminary version : October 9, 2005

published_at 2005-10-09
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Title ( eng )
A Bias Correction Method for Realized Covariance Calculated Using Previous Tick Interpolation, Preliminary version : October 9, 2005
Creator
Kanatani Taro
Keywords
Integrated cross volatility
Unevenly sampled observations
Previous tick interpolation
Bias correction
Descriptions
In this paper we propose an unbiased estimator of cross-volatility (conditional covariance between two asset returns) when we must use evenly spaced data which have already been manipulated by previoustick interpolation.
This research was partially supported by the Ministry of Education, Culture, Sports, Science and Technology (MEXT), Grant-in-Aid for 21st Century COE Program "Interfaces for Advanced Economic Analysis".
NDC
Statistics [ 350 ]
Language
eng
Resource Type other
Date of Issued 2005-10-09
Publish Type Author’s Original
Access Rights open access