scholarly journals Mixed semimartingales: Volatility estimation in the presence of fractional noise

2021 ◽  
Author(s):  
Carsten Chong ◽  
Thomas Delerue ◽  
Guoying Li
Keyword(s):  
Volatility Estimation ◽  
Fractional Noise

Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation

2004 ◽  
Vol 6 (3) ◽  
pp. 27-52 ◽  
Author(s):  
J Venter ◽  
P de Jongh
Keyword(s):  
Garch Models ◽  
Volatility Estimation ◽  
Improve Efficiency

An Improved Two-Step Regularization Scheme for Spot Volatility Estimation

2008 ◽  
Author(s):  
Shigeyoshi Ogawa ◽  
Simona Sanfelici
Keyword(s):  
Regularization Scheme ◽  
Volatility Estimation ◽  
Spot Volatility

Asymptotic Theory for Renewal Based High-Frequency Volatility Estimation

2018 ◽  
Author(s):  
Yifan Li ◽  
Ingmar Nolte ◽  
Sandra Nolte (Lechner)
Keyword(s):  
High Frequency ◽  
Asymptotic Theory ◽  
Volatility Estimation

A new unbiased additive robust volatility estimation using extreme values of asset prices

2020 ◽  
Vol 34 (3) ◽  
pp. 313-347
Author(s):  
Muneer Shaik ◽  
S. Maheswaran
Keyword(s):  
Asset Prices ◽  
Extreme Values ◽  
Volatility Estimation

scholarly journals Intrinsic fractional noise in nanopores: The effect of reservoirs

2021 ◽  
Vol 154 (17) ◽  
pp. 171101
Author(s):  
S. Marbach
Keyword(s):  
Fractional Noise

Excess Volatility in Bitcoin: Extreme Value Volatility Estimation

2021 ◽  
pp. 227797522098768
Author(s):  
Parthajit Kayal ◽  
G. Balasubramanian
Keyword(s):  
Investment Decisions ◽  
Extreme Value ◽  
Time Varying ◽  
Price Changes ◽  
Volatility Estimation ◽  
Policy Choices ◽  
Rolling Window ◽  
Excess Volatility ◽  
High Volatility ◽  
Over Time

This article investigates the excess volatility in Bitcoin prices using an unbiased extreme value volatility estimator. We capture the time-varying nature of the excess volatility using bootstrap, multi-horizon, sub-sampling and rolling-window approaches. We observe that Bitcoin price changes are almost efficient. Although Bitcoin prices exhibit high volatility and show signs of excess volatility for a few periods, it is decreasing over time. After controlling for the outliers, we also notice that the Bitcoin market shows signs of increasing maturity. Overall, Bitcoin prices show a sign of increasing efficiency with decreasing volatility. Our findings have implications for investors making investment decisions and for regulators making policy choices.

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