Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data

doi:10.1016/j.jeconom.2016.05.003

CORC > 上海财经大学 > 上海财经大学

	Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
	Kim, Donggyu 1; Wang, Yazhen 1,2
刊名	JOURNAL OF ECONOMETRICS
	2016-10
卷号	194 期号:2 页码:220-230
关键词	GARCH Ito process Quasi-maximum likelihood estimator Realized volatility Stochastic differential equation
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2016.05.003
英文摘要	This paper introduces a unified model, which can accommodate both continuous-time Ito processes used to model high-frequency stock prices and GARCH processes employed to model low-frequency stock prices, by embedding a discrete-time GARCH volatility in its continuous-time instantaneous volatility. This model is called a unified GARCH-Ito model. We adopt realized volatility estimators based on high frequency financial data and the quasi-likelihood function for the low-frequency GARCH structure to develop parameter estimation methods for the combined high-frequency and low-frequency data. We establish asymptotic theory for the proposed estimators and conduct a simulation study to check finite sample performances of the estimators. We apply the proposed estimation approach to Bank of America stock price data. (C) 2016 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000382596500003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1202]
专题	上海财经大学
通讯作者	Wang, Yazhen
作者单位	1.Univ Wisconsin, Dept Stat, Madison, WI 53706 USA; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Kim, Donggyu,Wang, Yazhen. Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data[J]. JOURNAL OF ECONOMETRICS,2016,194(2):220-230.
APA	Kim, Donggyu,&Wang, Yazhen.(2016).Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data.JOURNAL OF ECONOMETRICS,194(2),220-230.
MLA	Kim, Donggyu,et al."Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data".JOURNAL OF ECONOMETRICS 194.2(2016):220-230.