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Renewal Based Volatility Estimation

Research output: Working paper

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Renewal Based Volatility Estimation. / Li, Yifan; Nolte, Ingmar; Nolte, Sandra.

SSRN Working Paper, 2019.

Research output: Working paper

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@techreport{f121d6d261664d24a79e7731013983e3,
title = "Renewal Based Volatility Estimation",
abstract = "This paper develops the idea of renewal time sampling, a novel sampling scheme constructed from stopping times of semimartingales. Based on this new sampling scheme we proposes a class of volatility estimators named renewal based volatility estimators. In this paper we show that: (1) The spot variance of a continuous martingale can be expressed in terms of the conditional intensity or conditional duration density of renewal sampling times; (2) In an infill asymptotics setting, renewal based volatility estimators are consistent and jump-robust estimators of the integrated variance of a general semimartingale; (3) Renewal time sampling and range-based sampling have a higher sampling efficiency than equidistant return-based sampling.",
keywords = "High-Frequency Volatility Estimation, Realized Volatility, Renewal Theory",
author = "Yifan Li and Ingmar Nolte and Sandra Nolte",
year = "2019",
month = jan,
day = "12",
language = "English",
publisher = "SSRN Working Paper",
type = "WorkingPaper",
institution = "SSRN Working Paper",

}

RIS

TY - UNPB

T1 - Renewal Based Volatility Estimation

AU - Li, Yifan

AU - Nolte, Ingmar

AU - Nolte, Sandra

PY - 2019/1/12

Y1 - 2019/1/12

N2 - This paper develops the idea of renewal time sampling, a novel sampling scheme constructed from stopping times of semimartingales. Based on this new sampling scheme we proposes a class of volatility estimators named renewal based volatility estimators. In this paper we show that: (1) The spot variance of a continuous martingale can be expressed in terms of the conditional intensity or conditional duration density of renewal sampling times; (2) In an infill asymptotics setting, renewal based volatility estimators are consistent and jump-robust estimators of the integrated variance of a general semimartingale; (3) Renewal time sampling and range-based sampling have a higher sampling efficiency than equidistant return-based sampling.

AB - This paper develops the idea of renewal time sampling, a novel sampling scheme constructed from stopping times of semimartingales. Based on this new sampling scheme we proposes a class of volatility estimators named renewal based volatility estimators. In this paper we show that: (1) The spot variance of a continuous martingale can be expressed in terms of the conditional intensity or conditional duration density of renewal sampling times; (2) In an infill asymptotics setting, renewal based volatility estimators are consistent and jump-robust estimators of the integrated variance of a general semimartingale; (3) Renewal time sampling and range-based sampling have a higher sampling efficiency than equidistant return-based sampling.

KW - High-Frequency Volatility Estimation

KW - Realized Volatility

KW - Renewal Theory

M3 - Working paper

BT - Renewal Based Volatility Estimation

PB - SSRN Working Paper

ER -