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Realised Quantile-Based Estimation of the Integrated Variance

Kim Christensen (), Roel Oomen () and Mark Podolskij ()

CREATES Research Papers from Department of Economics and Business Economics, Aarhus University

Abstract: In this paper, we propose a new jump robust quantile-based realised variancemeasure of ex-post return variation that can be computed using potentially noisy data. This new estimator is consistent for integrated variance and we present feasible central limit theorems which show that it converges at the best attainable rate and has excellent efficiency. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in modified form the estimator is applicable with market microstructure noise and therefore operational on highfrequency data. Simulations show that it also has superior robustness properties in finite samples, while an empirical application illustrates its use on equity data.

Keywords: Finite activity jumps; Integrated variance; Market microstructure noise; Order statistics; Outliers; Realised variance (search for similar items in EconPapers)
JEL-codes: C10 C80 (search for similar items in EconPapers)
Pages: 54
Date: 2009-05-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mst
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ftp://ftp.econ.au.dk/creates/rp/09/rp09_27.pdf (application/pdf)

Related works:
Journal Article: Realised quantile-based estimation of the integrated variance (2010) Downloads
Working Paper: Realised quantile-based estimation of the integrated variance (2010) Downloads
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