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...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
John Wiley & Sons, Ltd.
2002
|