Factor High-Frequency Based Volatility (HEAVY) Models
نویسندگان
چکیده
منابع مشابه
High Frequency Volatility
where B(t) is a standard Brownian motion. The volatility process σ(t) may be random or nonrandom, but it should be continuous. We observe one realization of X(t) for 0 ≤ t ≤ T , for example, one day of intraday tick data. Along with this, of course, will be one realization of σ(t). We assume that any drift term is negligible, which is generally adequate for high-frequency data. What can we tell...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2442230