Optimal combinations of realised volatility estimators.

Recent advances in financial econometrics have led to the development of new estimators of asset price variability using frequently-sampled price data, known as "realised volatility estimators" or simply "realised measures". These estimators rely on a variety of different assumpt...

Szczegółowa specyfikacja

Opis bibliograficzny
Główni autorzy: Patton, A, Sheppard, K
Format: Journal article
Język:English
Wydane: Elsevier 2009