Integrated Volatility Measuring from Unevenly Sampled Observations
Economics Bulletin Volume 3 Issue 36
Page 1-8
published_at 2004
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| File | |
| 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
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