Statistical Inferences for Realized Portfolio Weights

Golosnoy, Vasyl; Schmid, Wolfgang; Seifert, Miriam Isabel; Lazariv, Taras

doi:10.2139/ssrn.3238643

Cited by 5 publications

(17 citation statements)

References 46 publications

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“…Of course, the IP-correction factors should be newly derived for each particular measure, however, this challenging task is beyond the scope of our paper and is left for future research, as e.g. the task of deriving IP correction factors for realized portfolio weights (Golosnoy et al 2019, 2020, or Golosnoy and Gribisch 2022. The impact of IP on these additional estimators is investigated in the follow-up paper of Dette et al (2022).…”

Section: Discussion and Further Extensionsmentioning

confidence: 99%

The effect of intraday periodicity on realized volatility measures

Dette

Golosnoy

Kellermann

2022

Metrika

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We focus on estimating daily integrated volatility (IV) by realized measures based on intraday returns following a discrete-time stochastic model with a pronounced intraday periodicity (IP). We demonstrate that neglecting the IP-impact on realized estimators may lead to invalid statistical inference concerning IV for a common finite number of intraday returns. For a given IP functional form, we analytically derive robust IP-correction factors for realized measures of IV as well as their asymptotic distributions. We show both in Monte Carlo simulations and empirically that the proposed bias corrections are the robust way to account for IP by computing realized estimators.

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Section: Discussion and Further Extensionsmentioning

confidence: 99%

The effect of intraday periodicity on realized volatility measures

Dette

Golosnoy

Kellermann

2022

Metrika

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“…Golosnoy et al 96 estimated the optimal GMVP weights following a different approach than previously described with the sample volatility estimators. They estimated the so‐called realized GMVP weights by using the realized volatility measures computed from intraday data.…”

Section: Control Charts and Portfolio Monitoringmentioning

confidence: 99%

Control charts in financial applications: An overview

Bisiotis

Psarakis

Yannacopoulos

2021

Quality & Reliability Eng

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Statistical process control (SPC) methods have been widely popular not only in industrial applications but also in recent years in several nonindustrial scientific areas. The basic tools of SPC are control charts. SPC methods have been applied to various financial applications such as portfolio surveillance, stock trading, and interest rates. The purpose of this paper is to present the main applications of statistical monitoring process methods, specifically control charts, to the financial area. We focus on applications in stock markets such as technical trading rules, portfolio monitoring problems providing some directions for future research.

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“…The advantages of realized volatility measures over their sample counterparts based on daily returns are manifested in numerous applications, for example, in risk measurement and portfolio analysis (cf. References 37,38). Of course, our procedure is directly applicable for those multivariate SV models which could be written in a linear state-space form, see, for example, Reference 39.…”

Section: Component Model For Realized Volatilitymentioning

confidence: 99%

Testing for parameter changes in linear state space models

Golosnoy

Köhler

Schmid

et al. 2021

Appl Stoch Models Bus & Ind

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Linear state space models (LSSMs) provide a very general framework for multiple time series analysis. We propose a novel statistical procedure for testing validity of a LSSM which is focused on the detection of changes in parameters of the given LSSM. We derive the moments as well as the asymptotic distribution of the test statistic, and investigate the test size and the test power for changes in means, variances, and autoregressive coefficients. In the empirical application we test the validity of LSSMs applied to daily realized volatility time series.

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Statistical Inferences for Realized Portfolio Weights

Cited by 5 publications

References 46 publications

The effect of intraday periodicity on realized volatility measures

The effect of intraday periodicity on realized volatility measures

Control charts in financial applications: An overview

Testing for parameter changes in linear state space models

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