{"title":"存在依赖性市场微观结构噪声时的已实现波动率状态空间模型","authors":"Toru Yano","doi":"arxiv-2408.17187","DOIUrl":null,"url":null,"abstract":"Volatility means the degree of variation of a stock price which is important\nin finance. Realized Volatility (RV) is an estimator of the volatility\ncalculated using high-frequency observed prices. RV has lately attracted\nconsiderable attention of econometrics and mathematical finance. However, it is\nknown that high-frequency data includes observation errors called market\nmicrostructure noise (MN). Nagakura and Watanabe[2015] proposed a state space\nmodel that resolves RV into true volatility and influence of MN. In this paper,\nwe assume a dependent MN that autocorrelates and correlates with return as\nreported by Hansen and Lunde[2006] and extends the results of Nagakura and\nWatanabe[2015] and compare models by simulation and actual data.","PeriodicalId":501293,"journal":{"name":"arXiv - ECON - Econometrics","volume":"17 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise\",\"authors\":\"Toru Yano\",\"doi\":\"arxiv-2408.17187\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Volatility means the degree of variation of a stock price which is important\\nin finance. Realized Volatility (RV) is an estimator of the volatility\\ncalculated using high-frequency observed prices. RV has lately attracted\\nconsiderable attention of econometrics and mathematical finance. However, it is\\nknown that high-frequency data includes observation errors called market\\nmicrostructure noise (MN). Nagakura and Watanabe[2015] proposed a state space\\nmodel that resolves RV into true volatility and influence of MN. In this paper,\\nwe assume a dependent MN that autocorrelates and correlates with return as\\nreported by Hansen and Lunde[2006] and extends the results of Nagakura and\\nWatanabe[2015] and compare models by simulation and actual data.\",\"PeriodicalId\":501293,\"journal\":{\"name\":\"arXiv - ECON - Econometrics\",\"volume\":\"17 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-08-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - ECON - Econometrics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2408.17187\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - ECON - Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2408.17187","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise
Volatility means the degree of variation of a stock price which is important
in finance. Realized Volatility (RV) is an estimator of the volatility
calculated using high-frequency observed prices. RV has lately attracted
considerable attention of econometrics and mathematical finance. However, it is
known that high-frequency data includes observation errors called market
microstructure noise (MN). Nagakura and Watanabe[2015] proposed a state space
model that resolves RV into true volatility and influence of MN. In this paper,
we assume a dependent MN that autocorrelates and correlates with return as
reported by Hansen and Lunde[2006] and extends the results of Nagakura and
Watanabe[2015] and compare models by simulation and actual data.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
