Optimally Weighted Realized Volatility
Use this link to cite this item : https://ir.lib.hiroshima-u.ac.jp/00014537
ID | 14537 |
file | |
creator |
金谷, 太郎
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subject | Integrated (cross) volatility
Unevenly sampled observations
Fourier series estimator
Weighted realized volatility
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NDC |
Statistics
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description | 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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journal title |
CAEA Discussion Paper
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issue | Issue 26
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date of issued | 2005-10
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language |
eng
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nii type |
Technical Report
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HU type |
Technical Reports/Working Papers
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DCMI type | text
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format | application/pdf
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text version | author
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relation is version of URL | http://www.kier.kyoto-u.ac.jp/coe21/result-DP.html
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department |
Graduate School of Social Sciences
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