Realized volatility: a review

Michael McAleer and Marcelo C. Medeiros ()

No 531 Publication status: Forthcoming in Econometric Reviews, Textos para discussão from Department of Economics PUC-Rio (Brazil)

Abstract: This paper reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification provides the theoretical foundation for the main results in this literature. Cases with and without microstructure noise are considered, and it is shown how microstructure noise can cause severe problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are examined. The most important methods for providing consistent estimators are presented, and a critical exposition of different techniques is given. The finite sample properties are discussed in comparison with their asymptotic properties. A multivariate model is presented to discuss estimation of the realized covariances. Various issues relating to modelling and forecasting realized volatilities are considered. The main empirical findings using univariate and multivariate methods are summarized.

New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
Date: 2006-11
View list of references View citations in EconPapers

Downloads: (external link)
http://www.econ.puc-rio.br/pdf/td531.pdf (application/pdf)

Related works:
Journal Article: Realized Volatility: A Review (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:rio:texdis:531

Access Statistics for this paper

More papers in Textos para discussão from Department of Economics PUC-Rio (Brazil)
Contact information at EDIRC.
Series data maintained by ().