Realised Quantile-based Estimation of the Integrated Variance
Speaker
Abstract
| In this talk we present a new estimator (the realised quantile-based estimator) of the integrated variance (IV). The main goal of our approach is the construction of a highly efficient estimator that is robust to jumps and outliers in the price process. This is realised in the following manner: we use the (symmetric) squared return quantiles over small subintervals to estimate IV. Since a jump (if there is any on the subinterval) corresponds to the largest return quantile we take this one out of our computation. This leads to jump robustness. Moreover, we demonstrate how our method can be applied to models with microstructure noise. Finally, we present some empirical results to illustrate the performance of our estimator. |
| Contact information: |
| Erik Kole |
