Optimal Candlestick-Based Spot Volatility Estimation: New Tricks and Feasible Inference Procedures.
We contribute to the growing literature on high-frequency spot volatility estimation by deriving a new integral representation for the recently introduced asymptotic minimum risk equivariant (AMRE) candlestick-based class of estimators. Our new theoretical representation enables the practical numeri...
| Publicado en: | Journal of Financial Econometrics Vol. 24; no. 1; pp. 1 - 23 |
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| Autores principales: | , , , |
| Formato: | Artículo |
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Oxford University Press / USA
2026
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=191893668&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 191893668 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 14798409 T2Y jtl: Journal of Financial Econometrics issn: 14798409 maglogo: N pubinfo: dt: 2026 vid: 24 iid: 1 pid: 622 pub: Oxford University Press / USA artinfo: ui: 191893668 10.1093/jjfinec/nbaf023 ppf: 1 ppct: 22 formats: tig: atl: Optimal Candlestick-Based Spot Volatility Estimation: New Tricks and Feasible Inference Procedures. aug: au: Bollerslev, Tim Li, Jia Li, Qiyuan Li, Yifan affil: Department of Economics, Duke University, Durham, 27708-0097, USA School of Economics, Singapore Management University, Singapore, 178903, Singapore Faculty of Business and Economics, University of Hong Kong, Hong Kong, Hong Kong Accounting & Finance Division, University of Manchester, Manchester, M15 6PB, UK su: Sampling (Process) Market volatility Confidence intervals Numerical calculations High-frequency trading (Securities) sug: subj: Sampling (Process) Market volatility Confidence intervals Numerical calculations High-frequency trading (Securities) keyword: C14 C22 high-frequency candlestick data nonparametric estimation numerical methods range-based estimation spot volatility C14 C22 high-frequency candlestick data nonparametric estimation numerical methods range-based estimation spot volatility ab: We contribute to the growing literature on high-frequency spot volatility estimation by deriving a new integral representation for the recently introduced asymptotic minimum risk equivariant (AMRE) candlestick-based class of estimators. Our new theoretical representation enables the practical numerical computation of the hitherto impractical to compute optimal estimators based on multiple adjacent candlesticks. We also propose a new exact sampling scheme for high-frequency candlestick data, which facilitates straightforward calculation of the asymptotic risk and confidence intervals for the estimators. The resulting critical values for the highest-density intervals highlight the substantial efficiency gains from incorporating more than one candlestick in the estimation process. We showcase the practical value of the new techniques in elucidating the behavior of financial market volatility around the time of important news announcements. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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