Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Journal Article (Journal Article)
We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data ("realized measures"), and compare them with a simple "realized variance" (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV.
Full Text
Duke Authors
Cited Authors
- Liu, LY; Patton, AJ; Sheppard, K
Published Date
- July 1, 2015
Published In
Volume / Issue
- 187 / 1
Start / End Page
- 293 - 311
Electronic International Standard Serial Number (EISSN)
- 1872-6895
International Standard Serial Number (ISSN)
- 0304-4076
Digital Object Identifier (DOI)
- 10.1016/j.jeconom.2015.02.008
Citation Source
- Scopus