综合波动率估算：观测噪声变量的情况

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Journal of the Korean Statistical Society Pub Date : 2024-08-21 DOI:10.1007/s42952-024-00286-z

Erindi Allaj

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引用次数: 0

摘要

我们提出了一种新的综合波动率估计方法，它可以在观察到噪声变量的情况下使用。我们发现，在特定条件下，所提出的估计值是一致的，而且根据噪声效应调整后的估计值与综合波动率之间的误差与无噪声效应下的已实现波动率估计值具有相同的渐近分布。最后，模拟和实证研究验证了我们的结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

Integrated volatility estimation: the case of observed noise variables

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Integrated volatility estimation: the case of observed noise variables

We propose a new estimator of the integrated volatility in presence of observed noise variables, measured, for example, by the trading volume or the bid-ask-spread. We find that, under specific conditions, the proposed estimator is consistent and the error, adjusted for the noise effects, between the proposed estimator and the integrated volatility has the same asymptotic distribution of the realized volatility estimator under no noise effects. Finally, our results are validated by a simulation and an empirical study.

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来源期刊

Journal of the Korean Statistical Society 数学-统计学与概率论

CiteScore

1.30

自引率

0.00%

发文量

审稿时长

3 months

期刊介绍： The Journal of the Korean Statistical Society publishes research articles that make original contributions to the theory and methodology of statistics and probability. It also welcomes papers on innovative applications of statistical methodology, as well as papers that give an overview of current topic of statistical research with judgements about promising directions for future work. The journal welcomes contributions from all countries.