Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results

Abstract

CIRANOLe CIRANO est un organisme sans but lucratif constitué en vertu de la Loi des compagnies du Québec. Reproduction partielle permise avec citation du document source, incluant la notice ©. Short sections may be quoted without explicit permission, provided that full credit, including © notice, is given to the source. ISSN 1198-8177Ce document est publié dans l'intention de rendre accessibles les résultats préliminaires de la recherche effectuée au CIRANO, afin de susciter des échanges et des suggestions. Résumé / AbstractNous proposons des extensions de la théorie asymptotique de Foster et Nelson pour l'estimation de variance. Nous proposons une approximation asymptotique qui permet de comparer des estimateurs obtenus à partir de données avec fréquences d'échantillonnage différentes. Une autre extension consiste à appliquer les arguments de Foster et Nelson à des processus plus généraux tels que la volatilité intégrée. Foster and Nelson (1996) We would like to thank Tim Bollerslev and Denise Osborn for comments on an earlier draft of this paper. We would also like to thank Michel Dacorogna of Olsen and Associates for providing us the data. We propose different extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed by

Dynamic Global Currency Hedging

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