1) weighted realized bipower variation
赋权"已实现"双幂次变差
2) realized bipower variation
"已实现"双幂次变差
1.
Analysis of the efficiency of realized bipower variation and realized multipower variation;
“已实现”双幂次变差与多幂次变差的有效性分析
3) Realized Bipower Estimator
已实现双幂次变差估计
4) weighted realized variance
赋权已实现变差
1.
Firstly,a weighted realized variance and a weighted realized covariance which are based on high frequency data are put forward.
首先提出了基于高频数据的赋权已实现变差估计量和赋权已实现协变差估计量。
5) realized multipower variation
"已实现"多幂次变差
1.
In this paper,through studying the efficiency of the realized bipower variation and the realized multipower variation,which are new methods of volatility estimator,conclusion is draw that in general the realized bipower variation is more efficient than the realized volatility.
近年来,基于金融高频数据的波动率研究成为金融学研究领域的热点,而有效性是衡量波动率估计量优劣的重要标准,本文对波动率估计量的新方法“已实现”双幂次变差和“已实现”多幂次变差的有效性进行了研究,得出“已实现”双幂次变差在一般条件下比“已实现”波动更有效的结论,并且证明了在一定条件下,“已实现”多幂次变差的幂次个数越多,该波动率估计量的有效性越高。
6) weighted realized covariance
赋权已实现协变差
1.
Firstly,a weighted realized variance and a weighted realized covariance which are based on high frequency data are put forward.
首先提出了基于高频数据的赋权已实现变差估计量和赋权已实现协变差估计量。
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