Related Books

Robust Estimation of Integrated Volatility
Language: en
Pages:
Authors: Z. Merrick Li
Categories:
Type: BOOK - Published: 2021 - Publisher:

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Jump-robust volatility estimation using nearest neighbor truncation
Language: en
Pages: 35
Authors: Torben G. Andersen
Categories: Economics
Type: BOOK - Published: 2009 - Publisher:

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We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attrac
Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
Language: en
Pages: 58
Authors: Alain P. Chaboud
Categories: Exchange rate pass-through
Type: BOOK - Published: 2007 - Publisher:

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Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury secu
Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
Language: en
Pages: 60
Authors: Alain Chaboud
Categories: Bond market
Type: BOOK - Published: 2008 - Publisher:

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Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury secu
Robust Estimation of Nonstationary, Fractionally Integrated, Autoregressive, Stochastic Volatility
Language: en
Pages: 31
Authors: Mark J. Jensen
Categories:
Type: BOOK - Published: 2017 - Publisher:

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Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly p