Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde

With the availability of ultra high frequency financial data, the task of finding an appropriate econometric model to describe the movement of financial variables at the tick-by-tick level has become an important goal in financial econometric research. The task has both theoretical and empirical dim...

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Main Authors: PHILLIPS, Peter C. B., YU, Jun
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Language:English
Published: Institutional Knowledge at Singapore Management University 2005
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Online Access:https://ink.library.smu.edu.sg/soe_research/855
https://ink.library.smu.edu.sg/context/soe_research/article/1854/viewcontent/PhillipsYuCommentsJBES.pdf
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spelling sg-smu-ink.soe_research-18542019-05-04T09:47:19Z Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde PHILLIPS, Peter C. B. YU, Jun With the availability of ultra high frequency financial data, the task of finding an appropriate econometric model to describe the movement of financial variables at the tick-by-tick level has become an important goal in financial econometric research. The task has both theoretical and empirical dimensions. From an empirical perspective, the near continuous recording of financial asset prices has opened up the intriguing possibility of fitting the quadratic variation process empirically, leading to what is possibly the most direct nonparametric measure of asset price volatility. The resulting quantity has become known in the financial econometrics literature as realized variance (RV) and measures the accumulated or integrated variance (IV) of the efficient price process from some given initialization. This quantity is now the focal point of much of the latest research on market volatility. 2005-09-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/855 https://ink.library.smu.edu.sg/context/soe_research/article/1854/viewcontent/PhillipsYuCommentsJBES.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Econometrics
spellingShingle Econometrics
PHILLIPS, Peter C. B.
YU, Jun
Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde
description With the availability of ultra high frequency financial data, the task of finding an appropriate econometric model to describe the movement of financial variables at the tick-by-tick level has become an important goal in financial econometric research. The task has both theoretical and empirical dimensions. From an empirical perspective, the near continuous recording of financial asset prices has opened up the intriguing possibility of fitting the quadratic variation process empirically, leading to what is possibly the most direct nonparametric measure of asset price volatility. The resulting quantity has become known in the financial econometrics literature as realized variance (RV) and measures the accumulated or integrated variance (IV) of the efficient price process from some given initialization. This quantity is now the focal point of much of the latest research on market volatility.
format text
author PHILLIPS, Peter C. B.
YU, Jun
author_facet PHILLIPS, Peter C. B.
YU, Jun
author_sort PHILLIPS, Peter C. B.
title Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde
title_short Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde
title_full Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde
title_fullStr Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde
title_full_unstemmed Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde
title_sort comment on "realized variance and market microstructure noise" by peter r. hansen and asger lunde
publisher Institutional Knowledge at Singapore Management University
publishDate 2005
url https://ink.library.smu.edu.sg/soe_research/855
https://ink.library.smu.edu.sg/context/soe_research/article/1854/viewcontent/PhillipsYuCommentsJBES.pdf
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