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https://doi.org/10.2478/crebss-2020-0001

Realized density estimation using intraday prices

Josip Arnerić   ORCID icon orcid.org/0000-0002-2901-2609 ; University of Zagreb Faculty of Economics and Business, Croatia

Puni tekst: engleski, pdf (253 KB) str. 1-9 preuzimanja: 48* citiraj
APA 6th Edition
Arnerić, J. (2020). Realized density estimation using intraday prices. Croatian Review of Economic, Business and Social Statistics, 6 (1), 1-9. https://doi.org/10.2478/crebss-2020-0001
MLA 8th Edition
Arnerić, Josip. "Realized density estimation using intraday prices." Croatian Review of Economic, Business and Social Statistics, vol. 6, br. 1, 2020, str. 1-9. https://doi.org/10.2478/crebss-2020-0001. Citirano 28.10.2020.
Chicago 17th Edition
Arnerić, Josip. "Realized density estimation using intraday prices." Croatian Review of Economic, Business and Social Statistics 6, br. 1 (2020): 1-9. https://doi.org/10.2478/crebss-2020-0001
Harvard
Arnerić, J. (2020). 'Realized density estimation using intraday prices', Croatian Review of Economic, Business and Social Statistics, 6(1), str. 1-9. https://doi.org/10.2478/crebss-2020-0001
Vancouver
Arnerić J. Realized density estimation using intraday prices. Croatian Review of Economic, Business and Social Statistics [Internet]. 2020 [pristupljeno 28.10.2020.];6(1):1-9. https://doi.org/10.2478/crebss-2020-0001
IEEE
J. Arnerić, "Realized density estimation using intraday prices", Croatian Review of Economic, Business and Social Statistics, vol.6, br. 1, str. 1-9, 2020. [Online]. https://doi.org/10.2478/crebss-2020-0001

Sažetak
Availability of high-frequency data, in line with IT developments, enables the use of 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 the entire realized distribution of returns. Old-fashioned 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 an appropriate data-driven distribution of returns using high-frequency data. The 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 the sampling frequency selection. The main finding is that the kernel bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while the fast-time-time scale sampling frequency is held fixed. The 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.

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

Hrčak ID: 238224

URI
https://hrcak.srce.hr/238224

Posjeta: 103 *