Maillet, Bertrand B.; Médecin, Jean-Philippe R. - Dipartimento di Economia, Università Ca' Foscari Venezia - 2010
Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low frequency data and complement their results using additional measures of risk and several alternative methods for Tail-index estimation. The aim here is to...