Measuring and forecasting financial variability using realised variance.
Authors use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known char...
| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Book section |
| Language: | English |
| Published: |
Cambridge University Press
2004
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