방법 비교
선택한 방법을 나란히 검토하세요. 서로 다른 행은 강조 표시됩니다.
| 고빈도 데이터와 시장 미시구조 분석× | 실현 변동성에 대한 HAR-RV 모형× | |
|---|---|---|
| 분야 | 재무학 | 재무학 |
| 계열 | Regression model | Regression model |
| 기원 연도≠ | 2007 | 2009 |
| 창시자≠ | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) | Fulvio Corsi |
| 유형≠ | Market microstructure / high-frequency econometrics | Linear time-series regression for volatility |
| 원전≠ | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 | Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196. DOI ↗ |
| 별칭 | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı | HAR-RV, heterogeneous autoregressive realized volatility, Corsi HAR model, HAR-RV Modeli (Heterogeneous Autoregressive Realized Volatility) |
| 관련 | 5 | 5 |
| 요약≠ | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). | The HAR-RV model, introduced by Fulvio Corsi in 2009, forecasts realized volatility by decomposing it into daily, weekly, and monthly components. It is a simple linear regression that mirrors how market participants with different investment horizons react to volatility, and it naturally captures the long-memory behaviour of volatility. |
| ScholarGate데이터셋 ↗ |
|
|