Estimating spot volatility with high-frequency financial data
نویسندگان
چکیده
منابع مشابه
Spot volatility estimation for high-frequency data
The availability of high-frequency intraday data allows us to accurately estimate stock volatility. This paper employs a bivariate diffusion to model the price and volatility of an asset and investigates kernel type estimators of spot volatility based on highfrequency return data. We establish both pointwise and global asymptotic distributions for the estimators. Jianqing Fan is Frederick Moore...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2014
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2014.04.001