Download or read book Estimation of Integrated Covolatility for Asynchronous Assets in the Presence of Microstructure Noise written by Qiuyan Xu and published by . This book was released on 2008 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Advances in Multivariate Statistical Methods written by Ashis Sengupta and published by World Scientific. This book was released on 2009 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: Printbegrænsninger: Der kan printes 10 sider ad gangen og max. 40 sider pr. session
Download or read book Consistent Realized Covariance for Asynchronous Observations Contaminated by Market Microstructure Noise written by Alessandro Palandri and published by . This book was released on 2016 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a consistent estimator for the realized covariance of high frequency and asynchronous assets' returns that are contaminated by microstructure noise. The main contribution is the introduction of the pseudoaggregation which transforms the observations into series with the same number of data points without incurring in any loss of information. This in turn makes it possible to construct an unbiased and consistent covariance estimator by merging techniques from the literature relating to the asynchrony and the market microstructure contamination. Monte Carlo simulations confirm the theoretical results and highlight the outstanding performance of the proposed estimator.
Download or read book Some Recent Developments in Statistical Theory and Applications written by Kuldeep Kumar and published by Universal-Publishers. This book was released on 2012 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is part of the proceedings of The International Conference on Recent Developments in Statistics, Econometrics and Forecasting 2010, which was organized to provide opportunities for academics and researchers to share their knowledge on recent developments in this area. The conference featured the most up-to-date research results and applications in statistics, econometrics and forecasting. The book has fifteen chapters contributed by different authors and can be divided into five parts: Time Series and Econometric Modeling, Linear Models, Non-parametrics, Statistical Applications and Statistical Methodology. This book will be helpful to graduate students, researchers and applied statisticians working in the area of time series, statistical and econometric modeling.
Download or read book Covariance Estimation and Dynamic Asset Allocation Under Microstructure Effects Via Fourier Methodology written by Simona Sanfelici and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the properties of different estimators of multivariate volatilities in the presence of microstructure noise, with particular focus on the Fourier estimator. This estimator is consistent in the case of asynchronous data and robust to microstructure effects; further we prove the positive semi-definiteness of the estimated covariance matrix. The in sample and forecasting properties of Fourier method are analyzed through Monte Carlo simulations. We study the economic benefit of applying the Fourier covariance estimation methodology over other estimators in the presence of market microstructure noise from the perspective of an asset-allocation decision problem. We find that using Fourier methodology yields statistically significant economic gains under strong microstructure effects.
Download or read book Fourier Malliavin Volatility Estimation written by Maria Elvira Mancino and published by Springer. This book was released on 2017-03-01 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.
Download or read book Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise written by Yacine Aït-Sahalia and published by . This book was released on 2005 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.
Download or read book Financial Econometrics Modeling Market Microstructure Factor Models and Financial Risk Measures written by G. Gregoriou and published by Springer. This book was released on 2010-12-13 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
Download or read book Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise written by Yacine Ait-Sahalia and published by . This book was released on 2010 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.
Download or read book Estimation of Asset Volatility and Correlation Over Market Microstructure Noise in High Frequency Data written by Roman Yevstihnyeyev and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Accurate measurement of asset return volatility and correlation is an important problem in financial econometrics. The presence of market microstructure noise in high-frequency data complicates such estimations. This study extends a prior application of a model-based volatility estimator with autocorrelated market microstructure noise to estimation of correlation. The model is applied to a high-frequency dataset including a stock and an index, and the results are compared to some existing models. This study supports previous findings that including an autocorrelation factor produces an estimator potentially less vulnerable to market microstructure noise, and finds that the same is true about the extended correlation estimator that is introduced here.
Download or read book Estimation of Volatility Functionals in the Simultaneous Presence of Microstructure Noise and Jumps written by Mark Podolskij and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the optimal rate n-1/4. Moreover, we construct estimates which are robust to finite activity.
Download or read book Handbook of Modeling High Frequency Data in Finance written by Frederi G. Viens and published by John Wiley & Sons. This book was released on 2011-11-16 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-04-17 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
Download or read book Missing in Asynchronicity written by Fulvio Corsi and published by . This book was released on 2012 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Volatility Estimation with High Frequency Data Using Fourier Method written by Maria Elvira Mancino and published by . This book was released on 2013 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Availability of high frequency data has improved the capability of computing volatility in an efficient way. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed asset prices are generally affected by noise microstructure effects and tick-by-tick returns are asynchronous across different assets. In this paper we review the definition and the statistical properties of the so called Fourier estimator of multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute both the integrated and the instantaneous volatility, we show how to obtain estimators of the volatility of the volatility and the leverage as well. Further, we study the performance of the estimator in forecasting and in terms of portfolio utility in the presence of microstructure noise contaminations.
Download or read book High Frequency Lead Lag Effects and Cross Asset Linkages written by Giuseppe Buccheri and published by . This book was released on 2019 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the empirical evidence of high-frequency lead-lag effects and cross-asset linkages, we introduce a multi-asset price formation model which generalizes standard univariate microstructure models of lagged price adjustment. Econometric inference on such model provides: (i) a unified statistical test for the presence of lead-lag correlations in the latent price process and for the existence of a multi-asset price formation mechanism; (ii) separate estimation of contemporaneous and lagged dependencies; (iii) an unbiased estimator of the integrated covariance of the efficient martingale price process that is robust to microstructure noise, asynchronous trading and lead-lag dependencies. Through an extensive simulation study, we compare the proposed estimator to alternative approaches and show its advantages in recovering the true lead-lag structure of the latent price process. Our application to a set of NYSE stocks provides empirical evidence for the existence of a multi-asset price formation mechanism and sheds light on its market microstructure determinants.
Download or read book Handbook of Volatility Models and Their Applications written by Luc Bauwens and published by John Wiley & Sons. This book was released on 2012-03-22 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.
