High-Frequency and Model-Free Volatility Estimators - Couverture souple

Ślepaczuk, Robert; Zakrzewski, Grzegorz

Couverture souple

ISBN 10 : 3844356932 ISBN 13 : 9783844356939

Editeur : LAP LAMBERT Academic Publishing, 2013

Synopsis

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially with regards to modelling high-frequency data. Risk management, asset pricing and option valuation techniques are the areas where the concept of volatility estimators (consistent, unbiased and the most efficient) is of crucial concern. Our intention was to find the best estimator of true volatility taking into account the latest investigations in finance literature. Basing on the methodology presented in previous papers on volatility estimators, we computed the various model-free volatility estimators and compared them with classical volatility estimator. In order to reveal the information set hidden in high-frequency data, we utilized the concept of realized volatility and realized range. Calculating our estimator, we carefully focused on Δ (the interval used in calculation), n (the memory of the process) and q (scaling factor). Our results revealed that the appropriate selection of Δ and n plays the crucial role in estimator efficiency, as well as its accuracy...This work was supported by the Foundation for Polish Science.

Détails de l'édition

• Éditeur: LAP LAMBERT Academic Publishing
• Date d'édition: 2013
• Langue: anglais
• ISBN 10: 3844356932
• ISBN 13: 9783844356939
• Reliure: Broché
• Nombre de pages: 60
• Coordonnées du fabricant: non disponible
• Personne responsable: KreGa Onlinehandel GmbH; 4950000000000; info@krega-onlinehandel.de; ; Birkenweg 31; Brakel; 33034; Allemagne