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ID 14542
file
creator
Kanatani, Taro
subject
Fourier series estimator
Integrated volatility
Interpolation method
Realized volatility
Unevenly sampled observations
NDC
Economics
description
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.
journal title
Economics Bulletin
volume
Volume 3
issue
Issue 36
start page
1
end page
8
date of issued
2004
language
eng
nii type
Journal Article
HU type
Journal Articles
DCMI type
text
format
application/pdf
text version
publisher
relation is version of URL
http://www.economicsbulletin.uiuc.edu/Abstract.asp?PaperID=EB-04C10020
department
Graduate School of Social Sciences