The UvA-LINKER will give you a range of other options to find the full text of a publication (including a direct link to the full-text if it is located on another database on the internet).
De UvA-LINKER biedt mogelijkheden om een publicatie elders te vinden (inclusief een directe link naar de publicatie online als deze beschikbaar is in een database op het internet).

Search results

Query: faculty: "FEB" and publication year: "2010"

AuthorsK. Christensen, R.C.A. Oomen, M. Podolskij
TitleRealised quantile-based estimation of the integrated variance
JournalJournal of Econometrics
Volume159
Year2010
Issue1
Pages74-98
ISSN03044076
FacultyFaculty of Economics and Business
Institute/dept.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
AbstractIn this paper, we propose a new jump-robust quantile-based realised variance measure of ex post return variation that can be computed using potentially noisy data. The estimator is consistent for the integrated variance and we present feasible central limit theorems which show that it converges at the best attainable rate and has excellent efficiency. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in modified form the estimator is applicable with market microstructure noise and therefore operational on high-frequency data. Simulations show that it has superior robustness properties in finite sample, while an empirical application illustrates its use on equity data.
Document typeArticle
Document finderUvA-Linker