| 已实现波动测度的有效性及实证分析 |
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| 引用本文： | 朱丹,刘艳,李汉东.已实现波动测度的有效性及实证分析[J].北京师范大学学报(自然科学版),2012,48(1):97-100. |
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| 作者姓名： | 朱丹 刘艳 李汉东 |
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| 作者单位： | 北京师范大学管理学院,北京,100875;北京师范大学管理学院,北京,100875;北京师范大学管理学院,北京,100875 |
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| 摘 要： | 建立在高频金融时间序列基础上的已实现波动测度是资产价格过程中隐含波动的一致估计量,证明了已实现双幂变差波动测度是比已实现波动更有效的波动估计量,并利用中国股票市场的高频数据进行了实证分析,实证结果与理论分析相一致.
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| 关 键 词： | 高频数据 有效性 已实现波动 已实现双幂变差 |
EFFICIENCY OF REALIZED VOLATILITY AND EMPIRICAL ANALYSIS |
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| ZHU Dan,LIU Yan,LI Handong.EFFICIENCY OF REALIZED VOLATILITY AND EMPIRICAL ANALYSIS[J].Journal of Beijing Normal University(Natural Science),2012,48(1):97-100. |
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| Authors: | ZHU Dan LIU Yan LI Handong |
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| Institution: | (School of Management,Beijing Normal University,100875,Beijing,China) |
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| Abstract: | Realized volatility based on high frequency financial time series is a consistent estimator for implied volatility in assets pricing process.It was found that in general the realized bipower variation was a more efficient estimator than realized volatility.Empirical analysis was given by using high frequency data in the Chinese stock market,which was found to be consistent with theoretical calculations. |
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| Keywords: | high frequency data efficiency realized volatility realized bipower variation |
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