The distribution of index futures realised volatility under seasonality and microstructure noise
Ver/ Abrir
Metadatos
Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
comunitat-uji-handle4:
INVESTIGACIONMetadatos
Título
The distribution of index futures realised volatility under seasonality and microstructure noiseFecha de publicación
2020-09-01Editor
ElsevierCita bibliográfica
ALEMANY, Nuria; ARAGÓ, Vicent; SALVADOR, Enrique. The distribution of index futures realised volatility under seasonality and microstructure noise. Economic Modelling, 2020, vol. 93, p. 398-414.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.sciencedirect.com/science/article/pii/S0264999320311676Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the ... [+]
Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday data series, namely, the presence of seasonal intraday patterns and microstructure noise. Because many models are based on a normality assumption, this must be verified in order to validate the results. We find departures from normality due to the seasonal and noise components of intraday data, such that, after controlling for both features, the volatility estimates follow a log-normal distribution. Our results reveal that failing to account for these market imperfections can have important implications for analyses of volatility transmission and for investment and hedging decisions. [-]
Publicado en
Economic Modelling, 2020, v. 93Derechos de acceso
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Aparece en las colecciones
- COFIN_Articles [218]