A Stochastic Price Duration Model for Estimating High-Frequency Volatility
提出一个随机价格持续时间模型来估计高频波动率，利用价格持续时间与布朗运动通过时间的直接联系，相比收益率有优势，实证显示日内波动率动态重要，且预测集成方差优于其他模型。
Abstract We propose a stochastic price duration model to estimate high-frequency volatility. A price duration is directly linked to volatility from the passage time theory for Brownian motions, and it possesses several advantages over returns for estimating volatility. We employ price durations in a parametric model that directly specifies stochastic volatility dynamics. Our approach allows us to estimate intraday spot volatility and our empirical results suggest the presence of important intraday volatility dynamics. We conduct an extensive integrated variance forecast comparison, which demonstrates the superior performance of our proposed models compared with other duration-based or return-based estimators.