Publications [#324327] of Andrew J. Patton

Journal Articles

1. Liu, LY; Patton, AJ; Sheppard, K, Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes, Journal of Econometrics, vol. 187 no. 1 (July, 2015), pp. 293-311, Elsevier BV [doi]
   (last updated on 2026/01/15)

   Abstract:
   We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data ("realized measures"), and compare them with a simple "realized variance" (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV.