Wavelet Estimation of Integrated Volatility

Asger Lunde () and Esben Hoeg

No 274, Computing in Economics and Finance 2003 from Society for Computational Economics

Keywords: Financial Econometrics; Stochastic Volatility; Integrated Volatility; Estimation (search for similar items in EconPapers)
JEL-codes: C0 C1 C4 G1 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2003-08-01
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