Preprintgreen2009

Duration-Based Volatility Estimation

Torben G. Andersen · Dobrislav Dobrev · Ernst Schaumburg

44 citations0/0 files storedRePEc: Research Papers in Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

We develop a novel approach to estimating the integrated variance of a general jump-diffusion with stochastic volatility. Our approach exploits the relationship between the speed (distance traveled per fixed time unit) and passage time (time taken to travel a fixed distance) of the Brownian motion. The new class of duration-based IV estimators derived in this paper is shown to be robust to both jumps and market microstructure noise. Moreover, their asymptotic and finite sample properties compare favorably to those of commonly used robust IV estimators.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 44 citations exist upstream.

References

1987The Pricing of Options on Assets with Stochastic Volatilities 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2004Power and Bipower Variation with Stochastic Volatility and Jumps 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Cited by

2009Quadratic Variation by Markov Chains 2012Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach 2013A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 2010Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.