Showing 1 - 10 of 368
Persistent link: https://www.econbiz.de/10011300485
Persistent link: https://www.econbiz.de/10009720703
the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …
Persistent link: https://www.econbiz.de/10011520881
Persistent link: https://www.econbiz.de/10012054424
The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...
Persistent link: https://www.econbiz.de/10011326944
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account …
Persistent link: https://www.econbiz.de/10011380135
Persistent link: https://www.econbiz.de/10009355592
concerns the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we …
Persistent link: https://www.econbiz.de/10013146598
varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …
Persistent link: https://www.econbiz.de/10011373822