Improved volatility estimation based on limit order books
Year of publication: |
2014
|
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Authors: | Bibinger, Markus ; Jirak, Moritz ; Reiss, Markus |
Publisher: |
Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |
Subject: | Brownian excursion area | limit order book | integrated volatility | Feynman-Kac | high-frequency data | Poisson point process |
Series: | SFB 649 Discussion Paper ; 2014-053 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 798280271 [GVK] hdl:10419/103803 [Handle] RePEc:hum:wpaper:sfb649dp2014-053 [RePEc] |
Classification: | C22 - Time-Series Models ; c58 |
Source: |
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