期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 79, 期 3, 页码 655-692出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2005.01.005
关键词
volatility; volatility timing; microstructure noise; high frequency data
There are two variance components embedded in the returns constructed using high frequency asset prices: the time-varying variance of the unobservable efficient returns that would prevail in a frictionless economy and the variance of the equally unobservable microstructure noise. Using sample moments of high frequency return data recorded at different frequencies, we provide a simple and robust technique to identify both variance components. In the context of a volatility-timing trading strategy, we show that careful (optimal) separation of the two volatility components of the observed stock returns yields substantial utility gains. (c) 2004 Elsevier B.V. All rights reserved.
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