Let St denote the price process of a security, and suppose that the process logSt follows an Ito ̂ process d(logSt) = dt+dBt; where Bt is a standard Brownian motion. The estimator (generally called \realized volatility")Pn i=1(log(Si=n) log(S(i1)=n)) 2 is commonly used to estimate the volatility 2, where n is the sample frequency during the time period 0 to 1. It is justied by theoretical results in stochastic processes that the realized volatility converges in probability to the volatility as sample frequency goes to innity. However, recent empirical studies in nance showed evidence that market microstructure makes this estimator fail when the returns are sampled at high frequencies, and sampling sparsely gives more reasonable esti...
In recent years, as a result of more readily available ultra high frequency data (UHFD), realized vo...
<p>It is a common financial practice to estimate volatility from the sum of frequently-sampled squar...
Recorded prices are known to diverge from their "efficient" values due to the presence of market mic...
A measurement volatility of return process should be the primary object of traders and practitioners...
A measurement volatility of return process should be the primary object of traders and practitioners...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
We consider the properties of three estimation methods for integrated volatility, i.e. realized vola...
We consider the properties of three estimation methods for integrated volatility, i.e. realized vola...
Measuring and modeling financial volatility are key steps for derivative pricing and risk management...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
Abstract. This paper proposes a novel multiscale estimator for the integrated volatility of an Itô ...
The sum of squared returns, or realized volatility, of the recently available high frequency financi...
Recorded prices are known to diverge from their “efficient ” values due to the presence of market mi...
We define a new estimator of the volatility of volatility process based only on a pre-estimation of ...
In recent years, as a result of more readily available ultra high frequency data (UHFD), realized vo...
<p>It is a common financial practice to estimate volatility from the sum of frequently-sampled squar...
Recorded prices are known to diverge from their "efficient" values due to the presence of market mic...
A measurement volatility of return process should be the primary object of traders and practitioners...
A measurement volatility of return process should be the primary object of traders and practitioners...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process, in...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
We consider the properties of three estimation methods for integrated volatility, i.e. realized vola...
We consider the properties of three estimation methods for integrated volatility, i.e. realized vola...
Measuring and modeling financial volatility are key steps for derivative pricing and risk management...
This paper proposes a novel multiscale estimator for the integrated volatility of an Ito process in ...
Abstract. This paper proposes a novel multiscale estimator for the integrated volatility of an Itô ...
The sum of squared returns, or realized volatility, of the recently available high frequency financi...
Recorded prices are known to diverge from their “efficient ” values due to the presence of market mi...
We define a new estimator of the volatility of volatility process based only on a pre-estimation of ...
In recent years, as a result of more readily available ultra high frequency data (UHFD), realized vo...
<p>It is a common financial practice to estimate volatility from the sum of frequently-sampled squar...
Recorded prices are known to diverge from their "efficient" values due to the presence of market mic...