Data-based ranking of realised volatility estimators

Journal Article (Journal Article)

This paper presents new methods for comparing the accuracy of estimators of the quadratic variation of a price process. I provide conditions under which the relative accuracy of competing estimators can be consistently estimated (as T→∞), and show that forecast evaluation tests may be adapted to the problem of ranking these estimators. The proposed methods avoid making specific assumptions about microstructure noise, and facilitate comparisons of estimators that would be difficult using methods from the extant literature, such as those based on different sampling schemes. An application to high frequency IBM data between 1996 and 2007 illustrates the new methods. © 2010 Elsevier B.V. All rights reserved.

Full Text

Duke Authors

Cited Authors

  • Patton, AJ

Published Date

  • April 1, 2011

Published In

Volume / Issue

  • 161 / 2

Start / End Page

  • 284 - 303

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2010.12.010

Citation Source

  • Scopus