Optimal combinations of realised volatility estimators.

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Patton, A, Sheppard, K
स्वरूप:	Journal article
भाषा:	English
प्रकाशित:	Elsevier 2009

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