Electronic Resource
Realised Variance under the Alternative Sampling Scheme
| العنوان: | Realised Variance under the Alternative Sampling Scheme |
|---|---|
| المؤلفون: | Ignatieva, Katja, Risk and Actuarial Studies, UNSW Business School , UNSW, Alekseev, Vitali, UTS, Chen, Jun, Risk and Actuarial Studies, UNSW Business School, UNSW |
| بيانات النشر: | University of New South Wales. 2021 |
| نوع الوثيقة: | Electronic Resource |
| مستخلص: | This thesis considers the problem of estimating and forecasting the integrated variance (IV) using irregularly spaced high-frequency data. The research is conducted via three projects. The first project develops a novel sampling scheme based on exponential moving average to convert tick-by-tick data into equidistant time-series that are used for the calculation of realized variance (RV). Using simulation and empirical studies, different RVs computed using various sampling schemes and sampling frequencies are compared. The results demonstrate that the proposed sampling scheme is competitive and results in reliable RV estimates with high estimation accuracy for both the simulated time series and the empirical dataset. The second project investigates a new state space model to estimate the IV in presence of microstructure noise using the pre-averaging sampling scheme. An empirical illustration that features EUR/USD exchange rate provides evidence of an efficient performance of the proposed model in volatility forecasting at very high sampling frequencies. The third project investigates forecasting accuracy of various IV estimators, whereby the two classes of realised measures are compared: the RV and the bi-power variation (BV). The empirical study based on the Dow Jones Industrial Average index constituents documents that the pre-exponential moving average sampling scheme improves the performance of realised measures within the two classes, while the BV measure is shown to consistently outperform the RV. |
| مصطلحات الفهرس: | Realised variance, Alternative sampling scheme, Thesis, PhD Doctorate |
| URL: | |
| الاتاحة: | Open access content. Open access content https://creativecommons.org/licenses/by-nc-nd/4.0 https://creativecommons.org/licenses/by-nc-nd/4.0 free_to_read |
| ملاحظة: | English |
| Other Numbers: | LJ1 oai:unsworks.library.unsw.edu.au:1959.4/70715 https://unsworks.unsw.edu.au/fapi/datastream/unsworks:74683/SOURCE02?view=true 1245741874 |
| المصدر المساهم: | UNIV OF NEW S WALES From OAIster®, provided by the OCLC Cooperative. |
| رقم الانضمام: | edsoai.on1245741874 |
| قاعدة البيانات: | OAIster |
| الوصف غير متاح. |