Publication Type

Journal Article

Publication Date

2005

Abstract

These comments concentrate on two issues arising from Fan’s overview. The first concerns the importance of finite sample estimation bias relative to the specification and discretization biases that are emphasized in Fan’s discussion. Past research and simulations given here both reveal that finite sample effects can be more important than the other two effects when judged from either statistical or economic viewpoints. Second, we draw attention to a very different nonparametric technique that is based on computing an empirical version of the quadratic variation process. This technique is not mentioned by Fan but has many advantages and has accordingly attracted much recent attention in financial econometrics and empirical applications.

Keywords

Nonparametric method, continuous time models, financial time series, jackknife, realied volatility

Discipline

Econometrics | Health Economics

Research Areas

Econometrics

Publication

Statistical Science

Volume

20

Issue

4

First Page

338

Last Page

343

ISSN

0883-4237

Identifier

10.1214/088342305000000430

Publisher

Institute of Mathematical Sciences

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1214/088342305000000430

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