Moving Average-Based Estimators of Integrated Variance

By P. R. Hansen, Jeremy. Large, Asger Lunde. 2008

80 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0a425e7b72c6b0fa2bcffc00b56c2dd833252790

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Citations in the corpus

Realized Volatility: A Review (2008, methodology): “More recently, Hansen et al. (2008), showed that the MA(1) structure considered in Ebens (1999) and Andersen et al. (2001a) is well specified when the market microstructure noise is IID.”
Volatility Transmission in Emerging European Foreign Exchange Markets (2011, methodology): “To this end, we employ the moving-average based estimator of Hansen et al. (2008).”
Estimating the Spot Covariation of Asset Prices—Statistical Theory and Empirical Evidence (2014, unknown): “On the other hand, however, Hansen and Lunde (2006) report evidence for an endogeneity with dependence between noise and efficient price and it is of interest that estimators are robust in that case. To meet this objective, we show in Section 1.3 of the web appendix that our estimator will be robust”
Realised quantile-based estimation of the integrated variance (2010, methodology): “, 2000; Bandi and Russell, 2008), pre-filtering (Andersen et al., 2001; Bollen and Inder, 2002; Hansen et al., 2008), model-based corrections (e.”
On the Forecasting Accuracy of Multivariate GARCH Models (2010, methodology): “(13) This estimator (see Zhou, 1996, Zhang, Mykland, and Ait-Sahalia, 2005, Hansen and Lunde, 2006b and Hansen, Large, and Lunde, 2008), based on the Newey and West (1987) variance estimator, is equal to the RCov(Δ) plus a term that is a Bartlett-type weighted sum of higher-order autocovariances.”
Quasi-maximum likelihood estimation of volatility with high frequency data (2010, methodology): “Simulation studies by Äıt-Sahalia and Yu (2009) and Hansen et al. (2008) seem to have suggested that the MLE may be a consistent estimator of the integrated volatility.”
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2008, methodology): “The moving average filter of Andersen, Bollerslev, Diebold, and Ebens (2001) and Hansen, Large, and Lunde (2008) and the autoregressive filter of Bollen and Inder (2002), are estimators that use pre-whitening techniques — see also Bandi and Russell (2008).”
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries (2008, methodology): “…and Russell (2005a, 2005b, 2006), the subsampling method, as in Zhang, Mykland, and A¨ıt-Sahalia (2005), the kernel-based estimators of Zhou (1996), Barndorff-Nielsen, Hansen, Lunde, and Shephard (2006a, 2006b), and Hansen and Lunde (2006) and MA filtering, as in Hansen, Large, and Lunde (2007).”