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Data-based ranking of realised volatility estimators

Publication ,  Journal Article
Patton, AJ
Published in: Journal of Econometrics
April 1, 2011

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.

Duke Scholars

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

April 1, 2011

Volume

161

Issue

2

Start / End Page

284 / 303

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

APA
Chicago
ICMJE
MLA
NLM
Patton, A. J. (2011). Data-based ranking of realised volatility estimators. Journal of Econometrics, 161(2), 284–303. https://doi.org/10.1016/j.jeconom.2010.12.010
Patton, A. J. “Data-based ranking of realised volatility estimators.” Journal of Econometrics 161, no. 2 (April 1, 2011): 284–303. https://doi.org/10.1016/j.jeconom.2010.12.010.
Patton AJ. Data-based ranking of realised volatility estimators. Journal of Econometrics. 2011 Apr 1;161(2):284–303.
Patton, A. J. “Data-based ranking of realised volatility estimators.” Journal of Econometrics, vol. 161, no. 2, Apr. 2011, pp. 284–303. Scopus, doi:10.1016/j.jeconom.2010.12.010.
Patton AJ. Data-based ranking of realised volatility estimators. Journal of Econometrics. 2011 Apr 1;161(2):284–303.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

April 1, 2011

Volume

161

Issue

2

Start / End Page

284 / 303

Related Subject Headings

  • Econometrics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics