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Persistent link: https://www.econbiz.de/10013535898

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Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations

Andreou, Elena; Ghysels, Eric - 2006

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Prediction of stock price movement using continuous time models

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Detecting sudden changes in volatility estimated from high, low and closing prices

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Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices

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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Lillestøl, Jostein - 2000 - Rev.

The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...

Persistent link: https://www.econbiz.de/10009612011