Estimation of the quadratic variation of log prices based on the Itô semi-martingale
As the availability of high-frequency data becomes more widespread, it has become very popular to model random fluctuations of some econometric variables over time using Itô semi-martingale. An emblematic problem is to estimate the quadratic variation, i.e., the integrated volatility of log prices,...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2024-01-01
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| Series: | Electronic Research Archive |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/era.2024038?viewType=HTML |