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Realized candlestick wicks

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Realized candlestick wicks. / Li, Yifan; Nolte, Ingmar; Nolte, Sandra et al.
In: Journal of Econometrics, Vol. 250, 106014, 31.07.2025.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Li, Y, Nolte, I, Nolte, S & Yu, S 2025, 'Realized candlestick wicks', Journal of Econometrics, vol. 250, 106014. https://doi.org/10.1016/j.jeconom.2025.106014

APA

Li, Y., Nolte, I., Nolte, S., & Yu, S. (2025). Realized candlestick wicks. Journal of Econometrics, 250, Article 106014. Advance online publication. https://doi.org/10.1016/j.jeconom.2025.106014

Vancouver

Li Y, Nolte I, Nolte S, Yu S. Realized candlestick wicks. Journal of Econometrics. 2025 Jul 31;250:106014. Epub 2025 May 28. doi: 10.1016/j.jeconom.2025.106014

Author

Li, Yifan ; Nolte, Ingmar ; Nolte, Sandra et al. / Realized candlestick wicks. In: Journal of Econometrics. 2025 ; Vol. 250.

Bibtex

@article{781e9f69fbaf498fbd5506b79ac200a5,
title = "Realized candlestick wicks",
abstract = "We develop a novel nonparametric estimator of integrated variance by summing up the squared wick lengths of intraday candlesticks over a fixed time interval. The proposed wick-based estimator is robust to short-lived extreme price movements, such as gradual jumps and flash crashes. We investigate the asymptotic properties of the proposed estimator, and show that its asymptotic variance is about four times smaller than the state-of-the-art differenced-return volatility (DV) estimator. We also develop a Hausman-type test for the presence of both jumps and episodic extreme price movements. Monte Carlo simulations and empirical applications further validate the practical reliability of our proposed estimator.",
author = "Yifan Li and Ingmar Nolte and Sandra Nolte and Shifan Yu",
year = "2025",
month = may,
day = "28",
doi = "10.1016/j.jeconom.2025.106014",
language = "English",
volume = "250",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",

}

RIS

TY - JOUR

T1 - Realized candlestick wicks

AU - Li, Yifan

AU - Nolte, Ingmar

AU - Nolte, Sandra

AU - Yu, Shifan

PY - 2025/5/28

Y1 - 2025/5/28

N2 - We develop a novel nonparametric estimator of integrated variance by summing up the squared wick lengths of intraday candlesticks over a fixed time interval. The proposed wick-based estimator is robust to short-lived extreme price movements, such as gradual jumps and flash crashes. We investigate the asymptotic properties of the proposed estimator, and show that its asymptotic variance is about four times smaller than the state-of-the-art differenced-return volatility (DV) estimator. We also develop a Hausman-type test for the presence of both jumps and episodic extreme price movements. Monte Carlo simulations and empirical applications further validate the practical reliability of our proposed estimator.

AB - We develop a novel nonparametric estimator of integrated variance by summing up the squared wick lengths of intraday candlesticks over a fixed time interval. The proposed wick-based estimator is robust to short-lived extreme price movements, such as gradual jumps and flash crashes. We investigate the asymptotic properties of the proposed estimator, and show that its asymptotic variance is about four times smaller than the state-of-the-art differenced-return volatility (DV) estimator. We also develop a Hausman-type test for the presence of both jumps and episodic extreme price movements. Monte Carlo simulations and empirical applications further validate the practical reliability of our proposed estimator.

U2 - 10.1016/j.jeconom.2025.106014

DO - 10.1016/j.jeconom.2025.106014

M3 - Journal article

VL - 250

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

M1 - 106014

ER -