Department of Economics and Business Economics

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Research output: Working paperResearch

Standard

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. / Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; Archakov, Ilya.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

Research output: Working paperResearch

Harvard

Hansen, PR, Horel, G, Lunde, A & Archakov, I 2015 'A Markov Chain Estimator of Multivariate Volatility from High Frequency Data' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Hansen, P. R., Horel, G., Lunde, A., & Archakov, I. (2015). A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2015-19

CBE

Hansen PR, Horel G, Lunde A, Archakov I. 2015. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Hansen, Peter Reinhard et al. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2015-19). 2015., 34 p.

Vancouver

Hansen PR, Horel G, Lunde A, Archakov I. A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. Aarhus: Institut for Økonomi, Aarhus Universitet. 2015 Apr 28.

Author

Hansen, Peter Reinhard ; Horel, Guillaume ; Lunde, Asger ; Archakov, Ilya. / A Markov Chain Estimator of Multivariate Volatility from High Frequency Data. Aarhus : Institut for Økonomi, Aarhus Universitet, 2015. (CREATES Research Papers; No. 2015-19).

Bibtex

@techreport{c1158f2396c84b1aa9dfad05769e9dc5,
title = "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data",
abstract = "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.",
keywords = "Markov chain, Multivariate Volatility, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data",
author = "Hansen, {Peter Reinhard} and Guillaume Horel and Asger Lunde and Ilya Archakov",
year = "2015",
month = "4",
day = "28",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2015-19",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

AU - Hansen, Peter Reinhard

AU - Horel, Guillaume

AU - Lunde, Asger

AU - Archakov, Ilya

PY - 2015/4/28

Y1 - 2015/4/28

N2 - 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.

AB - 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.

KW - Markov chain, Multivariate Volatility, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data

M3 - Working paper

T3 - CREATES Research Papers

BT - A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -