DC Field | Value | Language |
---|---|---|
dc.contributor.author | Zhang, Xin | ko |
dc.contributor.author | Kim, Donggyu | ko |
dc.contributor.author | Wang, Yazhen | ko |
dc.date.accessioned | 2020-01-09T09:20:18Z | - |
dc.date.available | 2020-01-09T09:20:18Z | - |
dc.date.created | 2020-01-08 | - |
dc.date.issued | 2016-09 | - |
dc.identifier.citation | ECONOMETRICS, v.4, no.3 | - |
dc.identifier.issn | 2225-1146 | - |
dc.identifier.uri | http://hdl.handle.net/10203/271043 | - |
dc.description.abstract | This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the observed noisy price processes. Since wavelet coefficients are significantly larger at the jump locations than the others, we calibrate the wavelet coefficients through a threshold and declare jump points if the absolute wavelet coefficients exceed the threshold. In Step 2 we estimate the jump variation by averaging noisy price processes at each side of a declared jump point and then taking the difference between the two averages of the jump point. Specifically, for each jump location detected in Step 1, we get two averages from the observed noisy price processes, one before the detected jump location and one after it, and then take their difference to estimate the jump variation. Theoretically, we show that the two-step procedure based on average realized volatility processes can achieve a convergence rate close to O | - |
dc.language | English | - |
dc.publisher | MDPI | - |
dc.title | Jump variation estimation with noisy high frequency financial data via wavelets | - |
dc.type | Article | - |
dc.identifier.scopusid | 2-s2.0-85063821846 | - |
dc.type.rims | ART | - |
dc.citation.volume | 4 | - |
dc.citation.issue | 3 | - |
dc.citation.publicationname | ECONOMETRICS | - |
dc.identifier.doi | 10.3390/econometrics4030034 | - |
dc.contributor.localauthor | Kim, Donggyu | - |
dc.contributor.nonIdAuthor | Zhang, Xin | - |
dc.contributor.nonIdAuthor | Wang, Yazhen | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | high frequency financial data | - |
dc.subject.keywordAuthor | jump variation | - |
dc.subject.keywordAuthor | realized volatility | - |
dc.subject.keywordAuthor | integrated volatility | - |
dc.subject.keywordAuthor | microstructure noise | - |
dc.subject.keywordAuthor | wavelet methods | - |
dc.subject.keywordAuthor | nonparametric methods | - |
dc.subject.keywordPlus | MICROSTRUCTURE NOISE | - |
dc.subject.keywordPlus | DETECTING JUMPS | - |
dc.subject.keywordPlus | LIMIT-THEOREMS | - |
dc.subject.keywordPlus | ACTIVITY INDEX | - |
dc.subject.keywordPlus | TIME MODEL | - |
dc.subject.keywordPlus | VOLATILITY | - |
dc.subject.keywordPlus | PRICES | - |
dc.subject.keywordPlus | DIFFUSION | - |
dc.subject.keywordPlus | VARIANCE | - |
dc.subject.keywordPlus | RETURNS | - |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.