Properties of Realized Variance Under Alternative Sampling Schemes
Properties of Realized Variance Under Alternative Sampling Schemes
复制标题
替代抽样方案下已实现方差的性质
DOI：
--
复制
发表时间：
2006
期刊：
影响因子：
--
通讯作者：
R. Oomen
中科院分区：
文献类型：
--
作者：
R. Oomen
本文研究了市场微观结构噪声下已实现方差估计的统计性质。与现有文献不同的是，该分析依赖于高频证券价格的纯跳跃过程，并明确区分了不同的抽样方案，包括日历时间抽样、交易时间抽样和交易时间抽样。本文的主要发现是，交易时间抽样通常优于日历时间抽样的常见做法，因为它导致已实现方差的均方误差(MSE)更低。当交易强度模式波动时，在交易时间采样的好处尤其明显。基于2000-2004年期间IBM的交易数据，实证分析发现，平均最优抽样频率约为3分钟，与市场流动性相关的稳定下降趋势和显著的逐日变化，以及由于交易时间抽样而导致的已实现方差的MSE持续减少，平均约为5%，但在有非规则交易的日子可能高达40%。
This article investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies on a pure jump process for high-frequency security prices and explicitly distinguishes among alternative sampling schemes, including calendar time sampling, business time sampling, and transaction time sampling. The main finding in this article is that transaction time sampling is generally superior to the common practice of calendar time sampling in that it leads to a lower mean squared error (MSE) of the realized variance. The benefits of sampling in transaction time are particularly pronounced when the trade intensity pattern is volatile. Based on IBM transaction data over the period 2000–2004, the empirical analysis finds an average optimal sampling frequency of about 3 minutes with a steady downward trend and significant day-to-day variation related to market liquidity and a consistent reduction in MSE of the realized variance due to sampling in transaction time that is about 5% on average but can be as high as 40% on days with irregular trading.