Integrated Volatility Measuring from Unevenly Sampled Observations

Economics Bulletin Volume 3 Issue 36 Page 1-8 published_at 2004
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Title ( eng )
Integrated Volatility Measuring from Unevenly Sampled Observations
Creator
Kanatani Taro
Source Title
Economics Bulletin
Volume 3
Issue 36
Start Page 1
End Page 8
Keywords
Fourier series estimator
Integrated volatility
Interpolation method
Realized volatility
Unevenly sampled observations
Descriptions
This paper derives the linear interpolation bias of realized volatility. To avoid the bias, the Fourier series estimator has been proposed by Malliavin and Mancino (2002). We examine the theoretical relationship between the Fourier estimator and realized volatility and show that the latter is the most efficient estimator in the class of the former.
NDC
Economics [ 330 ]
Language
eng
Resource Type journal article
Date of Issued 2004
Publish Type Version of Record
Access Rights open access
Source Identifier
[URI] http://www.economicsbulletin.uiuc.edu/Abstract.asp?PaperID=EB-04C10020 isVersionOf