0434203 20240103204932.220150129235959.9 84936890267 000357669600001 10.1080/14697688.2014.950319 Realized wavelet-based estimation of integrated variance and jumps in the presence of noise 18 s. P cav_un_epca*00398981469-7688Quantitative Finance158 (2015)1347-1364 quadratic variation realized variance jumps market microstructure noise wavelets cav_un_auth*0242028 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Baruník Jozef UTIA-B K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0101217 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Vácha Lukáš UTIA-B Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2014/E/barunik-0434203.pdf cav_un_auth*0308905 612955 EC cav_un_auth*0308909 GA13-24313S GA ČR CZ cav_un_auth*0292677 GA13-32263S GA ČR We introduce wavelet-based methodology for estimation of realized variance allowing its mea- surement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Dis- crete Wavelet Transform, we allow for the decomposition of the realized variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance frame- work, we are able to utilize all available data and get feasible estimator in the presence of microstructure noise as well. The estimator is tested in a large numerical study of the finite sample performance and is compared to other popular realized variation estimators. We use different simulation settings with changing noise as well as jump level in different price pro- cesses including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is able to estimate and forecast the realized measures with the greatest precision. AH 2016 2 4 A 4a 20231122140548.4 RVO:67985556 http://hdl.handle.net/11104/0238359 S RIV/67985556:_____/15:00434203!RIV16-AV0-67985556 191683078 nejednotny pocet stran UTIA-B RIV/67985556:_____/15:00434203!RIV16-GA0-67985556 191719000 nejednotny pocet stran UTIA-B MATHEMATICS.INTERDISCIPLINARYAPPLICATIONS|BUSINESS.FINANCE|ECONOMICS|SOCIALSCIENCES.MATHEMATICALMETHODS 1.065 0.367 6.4 0.00606 0.633 1503 0.603 Q1 0.680 128 Q3 43.64 37.8 Q3 Q2 47.391 2015 Soubory v repozitáři: barunik-0434203.pdf 84936890267 SCOPUS 000357669600001 WOS cav_un_epca*0039898 Quantitative Finance 1469-7688 1469-7696 Roč. 15 č. 8 2015 1347 1364