Publication Type

Journal Article

Version

acceptedVersion

Publication Date

1-2024

Abstract

We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures.

Keywords

spot volatility, nonparametric estimation, range-based estimation, high-frequency data, decision theory

Discipline

Econometrics | Finance

Research Areas

Econometrics

Publication

Journal of Econometrics

Volume

238

Issue

1

First Page

1

Last Page

18

ISSN

0304-4076

Identifier

10.1016/j.jeconom.2023.105548

Publisher

Elsevier

Copyright Owner and License

Authors

Additional URL

https://doi.org/10.1016/j.jeconom.2023.105548

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