英文文献:Realised Quantile-Based Estimation of the Integrated Variance-已实现的基于数量的综合方差估计
英文文献作者:Kim Christensen,Roel Oomen,Mark Podolskij
英文文献摘要:
In this paper, we propose a new jump robust quantile-based realised variancemeasure of ex-post return variation that can be computed using potentially noisy data. This new estimator is consistent for integrated variance and we present feasible central limit theorems which show that it converges at the best attainable rate and has excellent efficiency. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in modified form the estimator is applicable with market microstructure noise and therefore operational on highfrequency data. Simulations show that it also has superior robustness properties in finite samples, while an empirical application illustrates its use on equity data.
在本文中,我们提出了一种新的跳跃鲁棒量化的事后回报变化的实现方差,可以使用潜在的噪声数据来计算。该估计量对积分方差是一致的,并给出了可行中心极限定理,证明了该估计量在最佳可达率下收敛并具有良好的效率。渐近地,基于数量的实现方差对价格序列中的有限活动跳跃和异常值免疫,而在修正形式的估计器适用于市场微观结构噪声,因此在高频数据上运行。仿真结果表明,该方法在有限的样本中也具有较好的鲁棒性,并在股权数据上进行了实证应用。