We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured by the impact of the trading volume on the asset price. We find that this estimator is inconsistent but convergent in probability. Motivated by this fact, we propose a new estimator which is consistent and asymptotically unbiased under a linear economy. Finally, our results are validated by a simulation and an empirical study.
Realized volatility estimator under liquidity effects / Allaj, Erindi. - (2021).
Realized volatility estimator under liquidity effects
ALLAJ ERINDI
2021-01-01
Abstract
We analyze the behaviour of the realized volatility (RV) estimator under liquidity effects. The liquidity is measured by the impact of the trading volume on the asset price. We find that this estimator is inconsistent but convergent in probability. Motivated by this fact, we propose a new estimator which is consistent and asymptotically unbiased under a linear economy. Finally, our results are validated by a simulation and an empirical study.File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
