Jump-robust volatility estimation using nearest neighbor truncation
We propose two new jump-robust estimators of integrated variance that allow for an asymptotic limit theory in the presence of jumps. Specifically, our MedRV estimator has better efficiency properties than the tripower variation measure and displays better finite-sample robustness to jumps and small...
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| Veröffentlicht in: | Journal of econometrics 2012-07, Vol.169 (1), p.75-93 |
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| container_end_page | 93 |
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| container_issue | 1 |
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| container_title | Journal of econometrics |
| container_volume | 169 |
| creator | Andersen, Torben G. Dobrev, Dobrislav Schaumburg, Ernst |
| description | We propose two new jump-robust estimators of integrated variance that allow for an asymptotic limit theory in the presence of jumps. Specifically, our MedRV estimator has better efficiency properties than the tripower variation measure and displays better finite-sample robustness to jumps and small (“zero”) returns. We stress the benefits of local volatility measures using short return blocks, as this greatly alleviates the downward biases stemming from rapid fluctuations in volatility, including diurnal (intraday) U-shape patterns. An empirical investigation of the Dow Jones 30 stocks and extensive simulations corroborate the robustness and efficiency properties of our nearest neighbor truncation estimators. |
| doi_str_mv | 10.1016/j.jeconom.2012.01.011 |
| format | Article |
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An empirical investigation of the Dow Jones 30 stocks and extensive simulations corroborate the robustness and efficiency properties of our nearest neighbor truncation estimators.</description><subject>Asymptotic methods</subject><subject>Bias</subject><subject>Economic efficiency</subject><subject>Estimating techniques</subject><subject>Estimation</subject><subject>Finite activity jumps</subject><subject>High-frequency data</subject><subject>Integrated variance</subject><subject>Intraday U-shape patterns</subject><subject>Jump robustness</subject><subject>Nearest neighbor truncation</subject><subject>Rates of return</subject><subject>Realized volatility</subject><subject>Simulation</subject><subject>Stock returns</subject><subject>Studies</subject><subject>Variance</subject><subject>Volatility</subject><issn>0304-4076</issn><issn>1872-6895</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><recordid>eNqFkE1Lw0AQhhdRsFZ_ghDw4iVxJ5v96Emk-EnBi56XZDOpG5Js3U0K_fdubU9ehIGXGZ55eWcIuQaaAQVx12YtGje4Pssp5BmFWHBCZqBkngq14KdkRhkt0oJKcU4uQmgppbxQbEaWb1O_Sb2rpjAmW9eVo-3suEswjLaPjRuSKdhhnQxY-jiMatdflfPJ6KfB_BKX5Kwpu4BXR52Tz6fHj-VLunp_fl0-rFJTKBjTSoAqRFM2NTMgqlyUCIVSlaA1q2RjVF3mjcRGAZQCDbIFFxyB8bqgXOaKzcntwXfj3fcUw-jeBoNdVw7opqCB5lJIXkgZ0Zs_aOsmP8R0kQLFmVJMRIofKONdCB4bvfHxar-L0J4TutXH1-r9azWFWBD37g97GK_dWvQ6GIuDwdp6NKOunf3H4QeDJYUk</recordid><startdate>20120701</startdate><enddate>20120701</enddate><creator>Andersen, Torben G.</creator><creator>Dobrev, Dobrislav</creator><creator>Schaumburg, Ernst</creator><general>Elsevier B.V</general><general>Elsevier Sequoia S.A</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20120701</creationdate><title>Jump-robust volatility estimation using nearest neighbor truncation</title><author>Andersen, Torben G. ; Dobrev, Dobrislav ; Schaumburg, Ernst</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c481t-b61846fafd3c16b26ae1488b60d3b7fc8da2f7ef811a6ece39565e135d4057283</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Asymptotic methods</topic><topic>Bias</topic><topic>Economic efficiency</topic><topic>Estimating techniques</topic><topic>Estimation</topic><topic>Finite activity jumps</topic><topic>High-frequency data</topic><topic>Integrated variance</topic><topic>Intraday U-shape patterns</topic><topic>Jump robustness</topic><topic>Nearest neighbor truncation</topic><topic>Rates of return</topic><topic>Realized volatility</topic><topic>Simulation</topic><topic>Stock returns</topic><topic>Studies</topic><topic>Variance</topic><topic>Volatility</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Andersen, Torben G.</creatorcontrib><creatorcontrib>Dobrev, Dobrislav</creatorcontrib><creatorcontrib>Schaumburg, Ernst</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of econometrics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Andersen, Torben G.</au><au>Dobrev, Dobrislav</au><au>Schaumburg, Ernst</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Jump-robust volatility estimation using nearest neighbor truncation</atitle><jtitle>Journal of econometrics</jtitle><date>2012-07-01</date><risdate>2012</risdate><volume>169</volume><issue>1</issue><spage>75</spage><epage>93</epage><pages>75-93</pages><issn>0304-4076</issn><eissn>1872-6895</eissn><coden>JECMB6</coden><abstract>We propose two new jump-robust estimators of integrated variance that allow for an asymptotic limit theory in the presence of jumps. 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| fulltext | fulltext |
| identifier | ISSN: 0304-4076 |
| ispartof | Journal of econometrics, 2012-07, Vol.169 (1), p.75-93 |
| issn | 0304-4076 1872-6895 |
| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Asymptotic methods Bias Economic efficiency Estimating techniques Estimation Finite activity jumps High-frequency data Integrated variance Intraday U-shape patterns Jump robustness Nearest neighbor truncation Rates of return Realized volatility Simulation Stock returns Studies Variance Volatility |
| title | Jump-robust volatility estimation using nearest neighbor truncation |
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