Volatility Matrix Estimation for High-Frequency Financial Data
Volatility is usually employed to measure the dispersion of asset returns, and it’s widely used in risk analysis and asset management. This first chapter studies a kernel-based spot volatility matrix estimator with pre-averaging approach for high-frequency data contaminated by market microstructure...
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| Format: | Others |
| Language: | English English |
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Florida State University
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| Online Access: | http://purl.flvc.org/fsu/fd/2018_Sp_Xue_fsu_0071E_14471 |