Počet záznamů: 1
Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
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SYSNO ASEP 0434203 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Realized wavelet-based estimation of integrated variance and jumps in the presence of noise Tvůrce(i) Baruník, Jozef (UTIA-B) RID, ORCID
Vácha, Lukáš (UTIA-B) RIDCelkový počet autorů 2 Zdroj.dok. Quantitative Finance - ISSN 1469-7688
Roč. 15, č. 8 (2015), s. 1347-1364Poč.str. 18 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. GB - Velká Británie Klíč. slova quadratic variation ; realized variance ; jumps ; market microstructure noise ; wavelets Vědní obor RIV AH - Ekonomie CEP GA13-32263S GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000357669600001 EID SCOPUS 84936890267 DOI 10.1080/14697688.2014.950319 Anotace We introduce wavelet-based methodology for estimation of realized variance allowing its mea- surement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Dis- crete Wavelet Transform, we allow for the decomposition of the realized variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance frame- work, we are able to utilize all available data and get feasible estimator in the presence of microstructure noise as well. The estimator is tested in a large numerical study of the finite sample performance and is compared to other popular realized variation estimators. We use different simulation settings with changing noise as well as jump level in different price pro- cesses including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is able to estimate and forecast the realized measures with the greatest precision. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2016
Počet záznamů: 1