Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 18, 2022 erstellt
Beschreibung:
In this paper, we show that the availability of multiple price series for the same asset can be exploited to estimate its integrated variance. We use a vector error correction model for those prices and its common trend representation to estimate the efficient price of the asset. Because the estimated efficient price satisfies the martingale property, we can then compute the sum of its squared intra-day returns to obtain an unbiased and efficient realized variance estimator. We derive the asymptotic distribution of the proposed estimator and provide extensive simulation experiments. An application to spot and futures prices as well as cross-listed stocks shows that this approach outperforms univariate estimators if at least two venues contribute substantially to the price discovery process