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Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Peter

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Authors

YANG ZU yang.zu@nottingham.ac.uk
Associate Professor

Peter Boswijk



Abstract

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the
scale parameter and the bandwidth parameter in the estimator. In Monte Carlo simulations, we compare the finite sample performance of our estimator with some existing estimators. Empirical examples are given to illustrate the potential applications of the estimator.

Citation

Zu, Y., & Boswijk, P. (2014). Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181(2), https://doi.org/10.1016/j.jeconom.2014.04.001

Journal Article Type Article
Acceptance Date Jan 19, 2014
Online Publication Date Apr 19, 2014
Publication Date Aug 1, 2014
Deposit Date Sep 13, 2017
Publicly Available Date Mar 29, 2024
Journal Journal of Econometrics
Print ISSN 0304-4076
Electronic ISSN 0304-4076
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 181
Issue 2
DOI https://doi.org/10.1016/j.jeconom.2014.04.001
Keywords Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection
Public URL https://nottingham-repository.worktribe.com/output/994900
Publisher URL http://www.sciencedirect.com/science/article/pii/S0304407614000608

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