DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Donggyu | ko |
dc.contributor.author | Wang, Yazhen | ko |
dc.date.accessioned | 2017-09-08T06:01:53Z | - |
dc.date.available | 2017-09-08T06:01:53Z | - |
dc.date.created | 2017-09-01 | - |
dc.date.created | 2017-09-01 | - |
dc.date.issued | 2016-10 | - |
dc.identifier.citation | JOURNAL OF ECONOMETRICS, v.194, no.2, pp.220 - 230 | - |
dc.identifier.issn | 0304-4076 | - |
dc.identifier.uri | http://hdl.handle.net/10203/225854 | - |
dc.description.abstract | This paper introduces a unified model, which can accommodate both continuous-time Ito processes used to model high-frequency stock prices and GARCH processes employed to model low-frequency stock prices, by embedding a discrete-time GARCH volatility in its continuous-time instantaneous volatility. This model is called a unified GARCH-Ito model. We adopt realized volatility estimators based on high frequency financial data and the quasi-likelihood function for the low-frequency GARCH structure to develop parameter estimation methods for the combined high-frequency and low-frequency data. We establish asymptotic theory for the proposed estimators and conduct a simulation study to check finite sample performances of the estimators. We apply the proposed estimation approach to Bank of America stock price data. (C) 2016 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE SA | - |
dc.subject | VOLATILITY | - |
dc.title | Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data | - |
dc.type | Article | - |
dc.identifier.wosid | 000382596500003 | - |
dc.identifier.scopusid | 2-s2.0-84992215979 | - |
dc.type.rims | ART | - |
dc.citation.volume | 194 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 220 | - |
dc.citation.endingpage | 230 | - |
dc.citation.publicationname | JOURNAL OF ECONOMETRICS | - |
dc.identifier.doi | 10.1016/j.jeconom.2016.05.003 | - |
dc.contributor.localauthor | Kim, Donggyu | - |
dc.contributor.nonIdAuthor | Wang, Yazhen | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | GARCH | - |
dc.subject.keywordAuthor | Ito process | - |
dc.subject.keywordAuthor | Quasi-maximum likelihood estimator | - |
dc.subject.keywordAuthor | Realized volatility | - |
dc.subject.keywordAuthor | Stochastic differential equation | - |
dc.subject.keywordPlus | VOLATILITY | - |
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