Realised quantile-based estimation of the integrated variance

Kim Christensen (), Roel Oomen () and Mark Podolskij ()
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Roel Oomen: ASE - Amsterdam School of Economics - UvA - University of Amsterdam [Amsterdam] = Universiteit van Amsterdam

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Abstract: In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is consistent for the 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 high-frequency data. Simulations show that it has superior robustness properties in finite sample, while an empirical application illustrates its use on equity data.

Keywords: C10; C80; Finite activity jumps; Market microstructure noise; Order statistics; Outliers; Realised variance (search for similar items in EconPapers)
Date: 2010-09-15
Note: View the original document on HAL open archive server: https://hal.science/hal-00732538v1
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Citations: View citations in EconPapers (55)

Published in Econometrics, 2010, 159 (1), pp.74. ⟨10.1016/j.jeconom.2010.04.008⟩

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Related works:
Journal Article: Realised quantile-based estimation of the integrated variance (2010)
Working Paper: Realised Quantile-Based Estimation of the Integrated Variance (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00732538

DOI: 10.1016/j.jeconom.2010.04.008

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