Estimation of volatility measures using high frequency data (in Russian)
Ilze Kalnina and
Natalia Sizova ()
Additional contact information
Natalia Sizova: Rice University, Houston, USA
Quantile, 2015, issue 13, 3-14
The availability of high frequency intra-day observations has created a new paradigm in volatility measurement. New methods in conjunction with high-frequency data allow nonparametric estimation of daily volatility and its forecast, variance-covariance matrices, instantaneous volatility and the jump contribution to the total variance. We survey some methods of volatility measurement including the recent literature on volatility estimation with ultra-high-frequency data in the presence of the market microstructure noise. We also discuss challenges specific to the estimation of the variance-covariance matrices with asynchronous observations.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2015:i:13:p:3-14
Access Statistics for this article
Quantile is currently edited by Stanislav Anatolyev
More articles in Quantile from Quantile
Bibliographic data for series maintained by Stanislav Anatolyev ().