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- Publisher Website: 10.1016/j.jeconom.2023.105548
- Scopus: eid_2-s2.0-85175006793
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Article: Optimal nonparametric range-based volatility estimation
Title | Optimal nonparametric range-based volatility estimation |
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Authors | |
Keywords | Decision theory High-frequency data Nonparametric estimation Range-based estimation Spot volatility |
Issue Date | 2024 |
Citation | Journal of Econometrics, 2024, v. 238, n. 1, article no. 105548 How to Cite? |
Abstract | We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures. |
Persistent Identifier | http://hdl.handle.net/10722/344536 |
ISSN | 2023 Impact Factor: 9.9 2023 SCImago Journal Rankings: 9.161 |
DC Field | Value | Language |
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dc.contributor.author | Bollerslev, Tim | - |
dc.contributor.author | Li, Jia | - |
dc.contributor.author | Li, Qiyuan | - |
dc.date.accessioned | 2024-07-31T03:04:18Z | - |
dc.date.available | 2024-07-31T03:04:18Z | - |
dc.date.issued | 2024 | - |
dc.identifier.citation | Journal of Econometrics, 2024, v. 238, n. 1, article no. 105548 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | http://hdl.handle.net/10722/344536 | - |
dc.description.abstract | We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Econometrics | - |
dc.subject | Decision theory | - |
dc.subject | High-frequency data | - |
dc.subject | Nonparametric estimation | - |
dc.subject | Range-based estimation | - |
dc.subject | Spot volatility | - |
dc.title | Optimal nonparametric range-based volatility estimation | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1016/j.jeconom.2023.105548 | - |
dc.identifier.scopus | eid_2-s2.0-85175006793 | - |
dc.identifier.volume | 238 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | article no. 105548 | - |
dc.identifier.epage | article no. 105548 | - |
dc.identifier.eissn | 1872-6895 | - |