Estimating Volatility for Long Holding Periods

Sample volatilities calculated from short-interval (daily) data do not necessarily imply much about volatility of financial assets over long (yearly) horizons. In this note we construct a model-free volatility estimator to investigate the long horizon volatility of various short-term interest rate series and study implications for short-rate models

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Year of publication:	2011
Authors:	Perraudin, William Robert Maurice
Other Persons:	Kiesel, Rudiger (contributor) ; Taylor, Alex (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: MEASURING RISK IN COMPLEX STOCHASTIC SYSTEMS: SPRINGER LECTURE NOTES IN STATISTICS, Vol. 147, Jurgen Franke, Wolfgang Hardle, Gerhard Stahl, eds., Springer Verlag, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 1, 2000 erstellt
Classification:	E30 - Prices, Business Fluctuations, and Cycles. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013118362