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In-sample asymptotics and across-sample efficiency gains for high frequency data statistics
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Ghysels, Eric, Mykland, Per and Renault, Eric (2021) In-sample asymptotics and across-sample efficiency gains for high frequency data statistics. Econometric Theory . doi:10.1017/S0266466621000359 ISSN 0266-4666.
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Official URL: https://doi.org/10.1017/S0266466621000359
Abstract
We revisit in-sample asymptotic analysis extensively used in the realized volatility literature. We show that there are gains to be made in estimating current realized volatility from considering realizations in prior periods. The weighting schemes also relate to Kalman-Bucy filters, although our approach is non-Gaussian and model-free. We derive theoretical results for a broad class of processes pertaining to volatility, higher moments, and leverage. The paper also contains a Monte Carlo simulation study showing the benefits of across-sample combinations.
Item Type: | Journal Article | |||||||||
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Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics > QA76 Electronic computers. Computer science. Computer software |
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Divisions: | Faculty of Social Sciences > Economics | |||||||||
Library of Congress Subject Headings (LCSH): | Econometrics, Econometrics -- Mathematical models, Finance -- Econometric models, Monte Carlo method | |||||||||
Journal or Publication Title: | Econometric Theory | |||||||||
Publisher: | Cambridge University Press | |||||||||
ISSN: | 0266-4666 | |||||||||
Official Date: | 2021 | |||||||||
Dates: |
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DOI: | 10.1017/S0266466621000359 | |||||||||
Status: | Peer Reviewed | |||||||||
Publication Status: | Published | |||||||||
Reuse Statement (publisher, data, author rights): | This article has been published in a revised form in Econometric Theory http://doi.org/10.1017/S0266466621000359. This version is free to view and download for private research and study only. Not for re-distribution, re-sale or use in derivative works. © The Author(s), 2021. Published by Cambridge University Press | |||||||||
Access rights to Published version: | Restricted or Subscription Access | |||||||||
Copyright Holders: | © The Author(s), 2021. Published by Cambridge University Press | |||||||||
Date of first compliant deposit: | 7 July 2021 | |||||||||
Date of first compliant Open Access: | 23 January 2022 | |||||||||
RIOXX Funder/Project Grant: |
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