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...
| Auteurs principaux: | , , , |
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| Format: | Working paper |
| Langue: | English |
| Publié: |
Nuffield College (University of Oxford)
2002
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