Arbeitspapier
Realized volatility: a review
This paper reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification provides the theoretical foundation for the main results in this literature. Cases with and without microstructure noise are considered, and it is shown how microstructure noise can cause severe problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are examined. The most important methods for providing consistent estimators are presented, and a critical exposition of different techniques is given. The finite sample properties are discussed in comparison with their asymptotic properties. A multivariate model is presented to discuss estimation of the realized covariances. Various issues relating to modelling and forecasting realized volatilities are considered. The main empirical findings using univariate and multivariate methods are summarized.
- Sprache
-
Englisch
- Erschienen in
-
Series: Texto para discussão ; No. 531
- Klassifikation
-
Wirtschaft
- Thema
-
Finanzmarkt
Volatilität
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
McAleer, Michael
Medeiros, Marcelo C.
- Ereignis
-
Veröffentlichung
- (wer)
-
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
- (wo)
-
Rio de Janeiro
- (wann)
-
2006
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- McAleer, Michael
- Medeiros, Marcelo C.
- Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
Entstanden
- 2006
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