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...
| Autors principals: | , |
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| Format: | Journal article |
| Idioma: | English |
| Publicat: |
John Wiley & Sons, Ltd.
2002
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