Department of Economics and Business Economics

Inference from the futures: ranking the noise cancelling accuracy of realized measures

Research output: Working paperResearch

Standard

Inference from the futures: ranking the noise cancelling accuracy of realized measures. / Mirone, Giorgio.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2017.

Research output: Working paperResearch

Harvard

Mirone, G 2017 'Inference from the futures: ranking the noise cancelling accuracy of realized measures' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Mirone, G. (2017). Inference from the futures: ranking the noise cancelling accuracy of realized measures. Aarhus: Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2017-24

CBE

Mirone G. 2017. Inference from the futures: ranking the noise cancelling accuracy of realized measures. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Mirone, Giorgio Inference from the futures: ranking the noise cancelling accuracy of realized measures. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2017-24). 2017., 43 p.

Vancouver

Mirone G. Inference from the futures: ranking the noise cancelling accuracy of realized measures. Aarhus: Institut for Økonomi, Aarhus Universitet. 2017 Jun 29.

Author

Mirone, Giorgio. / Inference from the futures: ranking the noise cancelling accuracy of realized measures. Aarhus : Institut for Økonomi, Aarhus Universitet, 2017. (CREATES Research Papers; No. 2017-24).

Bibtex

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title = "Inference from the futures: ranking the noise cancelling accuracy of realized measures",
abstract = "We consider the log-linear relationship between futures contracts and their underlying assets and show that in the classical Brownian semi-martingale (BSM) framework the two series must, by no-arbitrage, have the same integrated variance. We then introduce the concept of noise cancelling and propose a generally applicable methodology to assess the performance of realized measures when the variable of interest is latent, overcoming the problem posed by the lack of a true value for the integrated variance. Using E-mini index futures contracts, we carry out formal testing of several realized measures in the presence of noise. Moreover, a thorough simulation analysis is employed to evaluate the estimators' sensitivity to different price and noise processes, and sampling frequencies.",
keywords = "realized variance, estimation comparison, noise cancelling, futures, ranking",
author = "Giorgio Mirone",
year = "2017",
month = "6",
day = "29",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2017-24",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Inference from the futures: ranking the noise cancelling accuracy of realized measures

AU - Mirone, Giorgio

PY - 2017/6/29

Y1 - 2017/6/29

N2 - We consider the log-linear relationship between futures contracts and their underlying assets and show that in the classical Brownian semi-martingale (BSM) framework the two series must, by no-arbitrage, have the same integrated variance. We then introduce the concept of noise cancelling and propose a generally applicable methodology to assess the performance of realized measures when the variable of interest is latent, overcoming the problem posed by the lack of a true value for the integrated variance. Using E-mini index futures contracts, we carry out formal testing of several realized measures in the presence of noise. Moreover, a thorough simulation analysis is employed to evaluate the estimators' sensitivity to different price and noise processes, and sampling frequencies.

AB - We consider the log-linear relationship between futures contracts and their underlying assets and show that in the classical Brownian semi-martingale (BSM) framework the two series must, by no-arbitrage, have the same integrated variance. We then introduce the concept of noise cancelling and propose a generally applicable methodology to assess the performance of realized measures when the variable of interest is latent, overcoming the problem posed by the lack of a true value for the integrated variance. Using E-mini index futures contracts, we carry out formal testing of several realized measures in the presence of noise. Moreover, a thorough simulation analysis is employed to evaluate the estimators' sensitivity to different price and noise processes, and sampling frequencies.

KW - realized variance, estimation comparison, noise cancelling, futures, ranking

M3 - Working paper

T3 - CREATES Research Papers

BT - Inference from the futures: ranking the noise cancelling accuracy of realized measures

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -