Nonparametric Estimation Methods of Integrated Multivariate Volatilities

Toshiya Hoshikawa, Keiji Nagai, Taro Kanatani () and Yoshihiko Nishiyama

Econometric Reviews, 2008, vol. 27, issue 1-3, 112-138

Abstract: Estimation of integrated multivariate volatilities of an Ito process is an interesting and important issue in finance, for example, in order to evaluate portfolios. New non-parametric estimators have been recently proposed by Malliavin and Mancino (2002) and Hayashi and Yoshida (2005a) as alternative methods to classical realized quadratic covariation. The purpose of this article is to compare these alternative estimators both theoretically and empirically, when high frequency data is available. We found that the Hayashi-Yoshida estimator performs the best among the alternatives in view of the bias and the MSE. The other estimators are shown to have possibly heavy bias mostly toward the origin. We also applied these estimators to Japanese Government Bond futures to obtain the results consistent with our simulation.

Keywords: High frequency data; Integrated volatility; Nonparametric estimators; Weighted realized volatility (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (5)

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DOI: 10.1080/07474930701853855

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