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Estimation of volatility measures using high frequency data (in Russian)

Ilze Kalnina and Natalia Sizova ()
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Natalia Sizova: Rice University, Houston, USA

Quantile, 2015, issue 13, 3-14

Abstract: 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.

Date: 2015
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