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Realized drift

delete2024-07-16
delete0
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OA
AI
S
Sébastien Laurent *
R
Roberto Renò
S
Shuping Shi
DOI：10.1016/j.jeconom.2024.105813delete
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摘要

摘要

En 中文
漂移和波动率是资产价格动态的两个主要驱动力。虽然文献中对波动率进行了广泛研究，但漂移通常被认为无法估计，并在文献中很大程度上被忽视。本文展示了如何利用基于高频数据实现的自动协方差来检测漂移。我们采用一种理论处理方法，其中有效价格的经典模型，一个可能被微观结构噪声污染的伊藤半鞅，被赋予了漂移和波动率爆炸。我们的理论倡导了一种将已实现方差分解为漂移和波动率成分的新方法，这显著提高了波动率预测的准确性。
Keyword:
C58
C12
C14
Drift
High-frequency Data
Serial Covariance
Volatility Forecasting
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期刊

Journal of Econometrics 封面图
Journal of Econometrics
IF:
4
论文数:
5.2K
被引数:
3.0W

机构

A
aix-marseille university (aix-marseille school of economics)
学者数:
1
论文数: 1
被引数: 0
D
Department of Economics
学者数:
952
论文数: 677
被引数: 0
E
ESSEC Business School
学者数:
440
论文数: 754
被引数: 1
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