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Shuichi Nagata
 
''Consistent Estimation of Integrated Volatility Using Intraday Absolute Returns for SV Jump Diffusion Processes''
( 2012, Vol. 32 No.1 )
 
 
In this paper, we consider an integrated volatility estimation of a stochastic volatility jump diffusion model using intraday absolute returns. We introduce our estimator as a natural extension of realized absolute variation, proposed by Barndorff-Nielsen and Shephard (2003), and show its consistency and asymptotic normality. We also show our estimator is asymptotically more efficient than another jump-robust estimator, bi-power variation, proposed by Barndorff-Nielsen and Shephard (2004, 2006). The results of a simulation to assess the finite-sample behavior of our estimator compliment the asymptotic result.
 
 
Keywords: High-frequency data, Bi-power variation, Integrated volatility, Jumps
JEL: C1 - Econometric and Statistical Methods: General
 
Manuscript Received : Aug 23 2011 Manuscript Accepted : Jan 23 2012

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