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...

書誌詳細
主要な著者:	Patton, A, Sheppard, K
フォーマット:	Journal article
言語:	English
出版事項:	Elsevier 2009

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