Department of Economics and Business Economics

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Research output: ResearchWorking paper


  • rp15_19

    Submitted manuscript, 1 MB, PDF-document

  • Peter Reinhard Hansen
    Peter Reinhard HansenDenmark
  • Guillaume Horel
    Guillaume HorelSerenitas Credit L.p.United States
  • Asger Lunde
  • Ilya Archakov
    Ilya ArchakovEuropean University InstituteItaly
We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to highfrequency commodity prices.
Original languageEnglish
Place of publicationAarhus
PublisherInstitut for Økonomi, Aarhus Universitet
Number of pages34
StatePublished - 28 Apr 2015
SeriesCREATES Research Papers

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