流动性效应下的已实现波动估计

ERN: Model Construction & Estimation (Topic) Pub Date : 2019-12-26 DOI:10.2139/ssrn.3509894

Erindi Allaj

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引用次数: 0

摘要

我们分析了已实现波动率(RV)估计量在流动性效应下的行为。流动性是通过交易量对资产价格的影响来衡量的。我们发现这个估计量是不一致的，但在概率上是收敛的。基于这一事实，我们提出了一个新的估计量，它在线性经济下是一致且渐近无偏的。最后，通过仿真和实证研究验证了本文的研究结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Realized Volatility Estimator Under Liquidity Effects

We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured by the impact of the trading volume on the asset price. We find that this estimator is inconsistent but convergent in probability. Motivated by this fact, we propose a new estimator which is consistent and asymptotically unbiased under a linear economy. Finally, our results are validated by a simulation and an empirical study.

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ERN: Model Construction & Estimation (Topic)

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