Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; … - School of Economics and Management, University of Aarhus - 2015
We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to...
