全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

基于TrTS取样的股票收益率RV测度的改进

, PP. 26-34

Keywords: 金融高频数据,金融资产收益率波动性,市场微观噪声,混合泊松分布

Full-Text   Cite this paper   Add to My Lib

Abstract:

?由于噪声的存在使得高频数据的分析过程存在着诸多困难,本文探讨了高频数据情况下的金融资产收益率已实现波动率的估计问题。在离散化的跳跃模型基础上,通过混合泊松分布而非传统的连续扩散模型来描述价格过程,并进一步提出了不同于以往文献研究的噪声假设,即在独立同分布的噪声假设基础上放松约束条件,保持噪声的独立性,但是允许噪声强度随时间变化,以此改善了传统的固定时间间隔取样模式。为了进一步改善估计效果,我们结合了TrTS(TransactionTimeSampling)以及一阶偏误修正的RV(realizedvariance)估计方式RVAC(1)(first-orderAutoCorrelationtoRV)。对来自两个交易所不同板块股票的价格数据进行的实证研究结果表明,本文的估计方式虽然对于个别股票价格数据会产生与实际背离潜在真实价格参数,但整体上对于已实现波动率的估计效果是比较稳健的。

References

[1]  Oomen R C A. Properties of bias corrected realized variance under alternative sampling schemes[J]. Journal of Financial Econometrics, 2005, 3(4):555-557.
[2]  Barndorff-Nielsen O E, Hansen P R, Lunde A, et al. Designing realized kernels to measure the ex post variation of equityprices in the presence of noise[J].Econometrica, 2008, 76(6): 1481-1536
[3]  Bandi F M,Russell J R. Microstructure noise, realized volatility, and optimal sampling[J]. Review of Economic Studies, 2008, 75(2):339-369.
[4]  Oomen R C A. Properties of realized variance under alternative sampling schemes[J].Journal of Business & Economic Statistics, 2006, 24(2):219-237.
[5]  Oomen R. Properties of realized variance for a pure jump process: Calendar time sampling versus business time sampling[R]. Working Paper,Financial Econometrics Research Centre,2004.
[6]  Hansen P R, Lunde A. Realized variance and market microstructure noise[J]. Journal of Business & Economic Statistics, 2006, 24(2):127-161.
[7]  Hansen P R, Lunde A. Realized variance and I.I.D. market microstructure noise[J]. Journal of Business & Economics Statistics,2004, 24(2):208-218.
[8]  Hansen P R, Lunde A. An unbiased measure of realized variance[R]. Working Paper, University of A arhus 2004.
[9]  Bandi F M, Russell J R. Separating microstructure noise from volatility[J]. Journal of Financial Economics, 2005, 79(3):655-692.
[10]  Griffin J E, Oomen R C A. Sampling returns for realized variance calculations: Tick time or transaction time[J]. Econometric Reviews, 2008, 27(1): 230-253.
[11]  McAleer M,Medeiros M C. Realized volatility: A review[J]. Econometric Reviews, 2008, 27(1): 10-45.
[12]  Gatheral J, Oomen R C A. Zero-intelligence realized variance estimation[J]. Finance Stoch, 2010, 14(2): 249-283.
[13]  沈根祥. 股票收益随机波动模型研究[J].中国管理科学, 2003, 11(2): 17-20.
[14]  王春峰, 蒋祥林, 吴晓霖. 随机波动模型的比较分析[J].系统工程学报, 2005, 20(2):216-219.
[15]  王天一, 黄卓. 基于高频数据的波动率建模及应用研究评述[J]. 经济学动态, 2012, (3): 141-146.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133