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Identifier to cite or link to this item: https://hdl.handle.net/10086/17081

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Title
Duration-Based Volatility Estimation
Creator
Creator Name
Andersen, Torben G. Andersen, Torben G.
Affiliation
Affiliation Name
Northwestern University
Affiliation
Affiliation Name
Kellogg School
Creator Name
Dobrev, Dobrislav Dobrev, Dobrislav
Affiliation
Affiliation Name
Federal Reserve Board of Governors
Creator Name
Schaumburg, Ernst Schaumburg, Ernst
Affiliation
Affiliation Name
Northwestern University
Affiliation
Affiliation Name
Kellogg School
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Abstract
We develop a novel approach to estimating the integrated variance of a general jump-diffusion with stochastic volatility. Our approach exploits the relationship between the speed (distance traveled per fixed time unit) and passage time (time taken to travel a fixed distance) of the Brownian motion. The new class of duration-based IV estimators derived in this paper is shown to be robust to both jumps and market microstructure noise. Moreover, their asymptotic and finite sample properties compare favorably to those of commonly used robust IV estimators.
Description
First version: March 10, 2008; This version: July 2, 2008; Preliminary Draft: Comments Welcome
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2009-03
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 34
Relation
Related Identifier
URI
  http://gcoe.ier.hit-u.ac.jp/english/index.html
Number of Pages
65
Sponsorship
グローバルCOEプログラム = Global COE Program
Edition
[Revised version]
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/17081