Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F15%3A00434203" target="_blank" >RIV/67985556:_____/15:00434203 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11230/15:10281366

Result on the web

<a href="http://dx.doi.org/10.1080/14697688.2014.950319" target="_blank" >http://dx.doi.org/10.1080/14697688.2014.950319</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1080/14697688.2014.950319" target="_blank" >10.1080/14697688.2014.950319</a>

Result language

angličtina

Original language name

Realized wavelet-based estimation of integrated variance and jumps in the presence of noise

Original language description

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.

Czech name

—

Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

—

Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2015

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Quantitative Finance

ISSN

1469-7688

e-ISSN

—

Volume of the periodical

15

Issue of the periodical within the volume

8

Country of publishing house

GB - UNITED KINGDOM

Number of pages

18

Pages from-to

1347-1364

UT code for WoS article

000357669600001

EID of the result in the Scopus database

2-s2.0-84936890267