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초록
The paper is concerned with high frequency financial time series. A weighted hybrid volatility is suggested to compute daily volatilities based on high frequency data. Various realized volatility (RV) computations are reviewed and the weights are chosen by minimizing the differences between the hybrid volatility and the realized volatility. A high frequency time series of KOSPI200 index is illustrated via QLIKE and Theil-U statistics.
키워드
high frequency time series; realized volatility; weighted hybrid volatility; 고빈도 금융시계열; 조정된 실현변동성; 가중 융합 변동성
- 제목
- Choice of weights in a hybrid volatility based on high-frequency realized volatility
- 제목 (타언어)
- 고빈도 금융 시계열 실현 변동성을 이용한 가중 융합 변동성의 가중치 선택
- 저자
- 윤재은; 황선영
- 발행일
- 2016-04
- 저널명
- 응용통계연구
- 권
- 29
- 호
- 3
- 페이지
- 505 ~ 512