Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2009
://gcoe.ier.hit-u.ac.jp
Global COE Hi-Stat Discussion Paper Series
March 2009
Duration-Based Volatility Estimation
Torben G. Andersen
Dobrislav … Dobrev
Ernst Schaumburg
034
Duration-Based Volatility Estimation
Torben G. Andersen, Dobrislav Dobrev, Ernst Schaumburg … approach to estimating the integrated variance of a general
jump-diffusion with stochastic volatility. Our approach exploits …