Naslov
Realized Density Estimation Using Intraday Prices

Autori
Arnerić, Josip

Izvornik
Croatian Review of Economic, Business and Social Statistics (CREBSS) (1849-8531) 6 (2020), 1; 1-9

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
bandwidth selection ; intraday prices ; Kernel density ; realized moments ; sampling frequency selection ; two-time scale estimator

Sažetak
Availability of high-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but also higher realized moments and entire realized distribution of returns. Old fashion approaches use only closing prices and assume that underlying distribution is time- invariant which makes traditional forecasting models unreliable. Moreover, time- varying realized moments support findings that returns are not identically distributed across trading days. The objective of the paper is to find appropriate data-driven distribution of returns using high- frequency data. Kernel estimation method is applied to DAX intraday prices, which balances between the bias and the variance of the realized moments with respect to the bandwidth selection as well as sampling frequency selection. The main finding is that Kernel bandwidth is strongly related to the sampling frequency at slow-time scale when applying two scale estimator, while the fast- time scale sampling frequency is held fixed. Realized Kernel density estimation enriches the literature by providing the best data-driven proxy of the true but unknown probability density function of returns, which can be used as a benchmark in comparison against ex-ante or implied driven moments.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

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