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Editor: Universidad Carlos III de Madrid. Departamento de Estadística

Issued date: 2014-09-08

Serie-No.: UC3M Working papers. Statistics and Econometrics14-16

Keywords: Realized measures , Noise , Jumps , Syncrhonization

Rights: Atribución-NoComercial-SinDerivadas 3.0 España

Abstract:We study the class of disentangled realized estimators for the integrated covariancematrix of Brownian semimartingales with finite activity jumps. These estimatorsseparate correlations and volatilities. We analyse – in a through Monte Carlo study –differWe study the class of disentangled realized estimators for the integrated covariancematrix of Brownian semimartingales with finite activity jumps. These estimatorsseparate correlations and volatilities. We analyse – in a through Monte Carlo study –different combinations of quantile-and-median-based realized volatilities, and fourestimators of realized correlations with three synchronization schemes. Their finitesample properties are studied under four data generating processes and in presence, ornot, of microstructure noise, and under synchronous and asynchronous trading. Themain finding is that pre-averaged disentangled estimators provide a precise,computationally efficient and easy alternative to measure integrated covariances onbasis of noisy and asynchronous prices. Moreover, the gain is not only statistical butalso financial. A minimum variance portfolio application shows the superiority of thedisentangled realized estimators in terms of numerous performance metrics.+-





Autor: Vander Elst, Harry; Veredas, David

Fuente: http://e-archivo.uc3m.es



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