IDEAS home Printed from https://ideas.repec.org/a/rsk/journ2/2160792.html
   My bibliography  Save this article

Robust estimation of integrated variance and quarticity under flat price and no trading bias

Author

Listed:
  • Frowin C. Schulz

Abstract

ABSTRACT This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (prices sampled consecutively in calendar time with the same value) and no trading (no price observation at sampling points) - both of which are frequently occurring stylized facts in financial highfrequency data sets - can cause a considerable bias in each considered method. Hence, we outline an approach for making these methods more robust so that they can provide undistorted statistical results based on intraday intervals not influenced by flat prices and no trading. The new approach is tested in realistic Monte Carlo experiments and is shown to be extraordinarily robust against varying levels of flat price and no trading bias. Additionally, we examine the new approach empirically with a data set of electricity forward contracts traded on the Nord Pool energy exchange. We obtain coherent conclusions with respect to predefined qualitative indicators.

Suggested Citation

Handle: RePEc:rsk:journ2:2160792
as

Download full text from publisher

File URL: https://www.risk.net/system/files/import/protected/digital_assets/4625/jem_v4n1a3.pdf
Download Restriction: no
---><---

More about this item

Statistics

Access and download statistics

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rsk:journ2:2160792. See general information about how to correct material in RePEc.

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

We have no bibliographic references for this item. You can help adding them by using this form .

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thomas Paine (email available below). General contact details of provider: https://www.risk.net/journal-of-energy-markets .

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.