Estimating Quadratic Variation Using Realized Variance.

This paper looks at some recent work on estimating quadratic variation using realized variance (RV)--that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high-frequency financial return data. When the underlying process is a semimarting...

সম্পূর্ণ বিবরণ

গ্রন্থ-পঞ্জীর বিবরন
প্রধান লেখক: Barndorff-Nielsen, O, Shephard, N
বিন্যাস: Journal article
ভাষা:English
প্রকাশিত: John Wiley & Sons, Ltd. 2002