Realized Daily Variance of S&P500 Cash Index: A Revaluation of Stylized Facts

• المؤلفون الرئيسيون: HUANG, Shirley J., LIU, Qianqiu, YU, Jun
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2007
• الموضوعات: High frequency data; Integrated variance; Microstructure noise; GARCH; Stochastic volatility; Long range dependence; Intertemporal CAPM; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2570; https://ink.library.smu.edu.sg/context/lkcsb_research/article/3569/viewcontent/Yu_AEF_2008.pdf
• المؤسسة: Singapore Management University

In this paper, the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang,...