Essays on estimation and inference for volatility with high frequency data
Volatility is a measure of risk, and as such it is crucial for finance. But volatility is not observable, which is why estimation and inference for it are important. Large high frequency data sets have the potential to increase the precision of volatility estimates. However, this data is also known...
| Main Author: | |
|---|---|
| Published: |
London School of Economics and Political Science (University of London)
2009
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645898 |