Browsing by Subject "High-Frequency Data"

Now showing 1 - 1 of 1
  • Thumbnail Image
    Item
    The Empirical Behavior of Commodity Prices at High Frequencies
    (2016-12) Mahon, Joseph
    I analyze the intraday prices and volatility of three exchange-traded agricultural commodities at high-frequencies. The dataset spans only a few trading days, but includes every transaction on the exchanges down to the microsecond. After reviewing some of the empirical issues with high-frequency data and the methods in the literature devoted to estimating volatility from them, I develop an approach that can disentangle the continuous or integrated volatility from discrete jumps in the price process. I illustrate applications to estimating spot volatility and in volatility forecasting, and conclude that these methods provide useful refinements to existing approaches.