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

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

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,...

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Bibliographic Details
Main Authors: HUANG, Shirley J., LIU, Qianqiu, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
High frequency data
Integrated variance
Microstructure noise
GARCH
Stochastic volatility
Long range dependence
Intertemporal CAPM
Finance and Financial Management
Portfolio and Security Analysis
Online Access: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
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Institution: Singapore Management University
Language: English

Internet

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

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