Final published version
Research output: Working paper
}
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 -