Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

By Roel C. A. Oomen. 2005

144 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a1ef87773814f368adff62c2c210dccdf76a3cd9

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Citations in the corpus

Covariance measurement in the presence of non-synchronous trading and market microstructure noise (2011, unknown): “This situation stands in sharp contrast to that of RV where a bias correction generally improves matters (see e.g. Barndorff-Nielsen, Hansen, Lunde, and Shephard, 2006; Oomen, 2005; Zhang, Mykland, and Äıt-Sahalia, 2005).”
Microstructure Noise, Realized Variance, and Optimal Sampling (2008, methodology): “Oomen (2005) study MSE-based optimal sampling in calendar time and business time for bias-corrected realized variance estimates.”
Realized Volatility: A Review (2008, methodology): “Oomen (2005) extended the model in Oomen (2006) in order to study the effects of the first-order bias correction on different sampling schemes.”
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise (2006, unknown): “We benefited from a number of articles that derive an expression for the bias and a bias-correction of realized variance in the univariate case, such as Bandi and Russell (2005a), Oomen (2005) , Zhang, Mykland, and A¨it-Sahalia (2005), Barndorff-Nielsen, Hansen, Lunde, and Shephard (2006), and Hans”
The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments (2010, background): “…and Labys (2003), Barndorff-Nielsen and Shephard (2004a), (2004b), Aı̈t-Sahalia, Mykland, and Zhang (2005), Andersen, Bollerslev, and Meddahi (2005), Oomen (2005), Zhang, Mykland, and Aı̈t-Sahalia (2005), Bandi and Russell (2006), Hansen and Lunde (2006), and Aı̈t-Sahalia and Mancini (2008).”
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015, methodology): “Under some conditions, business-time sampling can be shown to produce realized measures with superior statistical properties (see Oomen, 2005), and this sampling scheme is now common in this literature (see Barndorff-Nielsen et al., 2008, and Bollerslev & Todorov, 2011, for example).8 We sample pric”
A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects (2009, unknown): “…by Bandi and Russell (2005) and A¨ıt-Sahalia et al. (2005), business type sampling schemes dictated by the activity of the market, as in, e.g., Oomen (2005), the use of various pre-filtering or kernel type procedures to explicitly account for the serial correlation induced by the market…”
Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? (2011, unknown): “Zhang (2005, 2006), Bandi and Russell (2006), Barndorfi-Nielsen, Hansen, Lunde, and Shephard (2004, 2006), Curci and Corsi (2006), Oomen (2005) , Zhang (2004) and Zhou (1996).”
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise (2008, background): “To estimate ω2 Oomen (2005) suggested using the unbiased ω̃2 = − { γ1(Xδ) + γ−1(Xδ) } /2n, while, for example, Bandi and Russell (2008) suggest ω̂2 = γ0(Xδ)/2n which has a bias of ∫ t 0 σ 2 udu/2n.”
Comparison of Volatility Measures: A Risk Management Perspective (2010, unknown): “sell (2007), Oomen (2005) , Zhang (2006), Hansen & Lunde (2006), Barndorff-Nielsen et al. (2006),”
Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach (2008, unknown): “Oomen / Journal of Econometrics 144 (2008) 352–370 353”
No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications (2007, background): “…within a rapidly expanding literature, see e.g., Aït-Sahalia, Mykland and Zhang (2005), ABDL (2000, 2003), Bandi and Russell (2004a,b), Bollen and Inder (2002), Corsi, Zumbach, Müller and Dacorogna (2001), Hansen and Lunde (2006), Oomen (2005), Zhang, AïtSahalia and Mykland (2005), and Zhou (1996).”
Realized range-based estimation of integrated variance (2007, unknown): “Oomen (2005) characterizes RV under alternative sampling schemes. frequency n by setting: (2.5) RV builds directly on the theory of QV .”