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...
| Main Authors: | , |
|---|---|
| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Elsevier
2009
|