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...
| Main Authors: | , , , |
|---|---|
| Formato: | Working paper |
| Idioma: | English |
| Publicado: |
Nuffield College (University of Oxford)
2002
|