Model-Based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
نویسندگان
چکیده
منابع مشابه
Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility
With the advent of high frequency data, research has been instigated into the intra-day and integrated volatility, measured through e.g. realised volatility. Such measures may be contaminated by microstructure effects and jumps, leading to the development of alternative nonparametric estimators using quadratic variation measures. Instead of using such model-agnostic, non-parametric measures, th...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.967303