Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006
In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …
