In-sample Asymptotics and Across-sample Efficiency
Gains for Volatility Measurement
Eric Ghysels ( UNC Chapel Hill), Per Mykland (University of Chicago),
Eric Renault* ( UNC Chapel Hill)
Abstract:
We revisit the widely used in-sample asymptotic analysis developed by
Jacod and Barndorff-Nielsen and Shephard which is extensively used in
the realized volatility literature. We show that there are gains to be
made in estimating current realized volatility from considering realizations
in prior periods. Contrary to prior attempts in the literature, such as
those of Andreou and Ghysels and Meddahi, we develop a new approach which
is conditional on the volatility path.
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