Measuring and forecasting financial variability using realised variance with and without a model.

Measuring and forecasting financial variability using realised variance with and without a model.

We use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known character...

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Chi tiết về thư mục
Những tác giả chính:	Barndorff-Nielsen, O, Nielsen, B, Shephard, N, Ysusi, C
Định dạng:	Working paper
Ngôn ngữ:	English
Được phát hành:	Nuffield College (University of Oxford) 2002

Những quyển sách tương tự

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Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics
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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading.
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