Inference on the Integrated Volatility with Multiple Records by Using Range

Posted: 25 Aug 2016

See all articles by Yiqi Liu

Yiqi Liu

University of Macau; University of Macau

Wang Li

University of Macau

Zhi Liu

University of Macau

Date Written: August 25, 2016

Abstract

Because of the heavy trading of the market and limitation of the recording mechanism, the multiple records of high-frequency data appear frequently. The lack of order information for local data makes it difficult to estimate integrated volatility. We propose a range-based estimator of integrated volatility in presence of multiple records. The consistency and center limit theorem of the estimator have been derived. In simulation studies, several common models are employed to justify the performance of the estimator.

Keywords: Integrated volatility; High-frequency data; Multiple records; Range-based estimation

JEL Classification: C13, C14, G10, G12

Suggested Citation

Liu, Yiqi and Liu, Yiqi and Li, Wang and Liu, Zhi, Inference on the Integrated Volatility with Multiple Records by Using Range (August 25, 2016). Available at SSRN: https://ssrn.com/abstract=2829256

Yiqi Liu (Contact Author)

University of Macau ( email )

Avenida da Universidade, Taipa
Macau, China
Taipa
Macau

University of Macau ( email )

P.O. Box 3001
Macau

Wang Li

University of Macau ( email )

P.O. Box 3001
Macau

Zhi Liu

University of Macau ( email )

P.O. Box 3001
Macau

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