Discrete sine transform for multi-scale realized volatility measures (Q2893209): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: The Distribution of Realized Exchange Rate Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Realized range-based estimation of integrated variance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory in continuous-time stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Measuring volatility with the realized range / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank

Latest revision as of 10:11, 5 July 2024

scientific article
Language Label Description Also known as
English
Discrete sine transform for multi-scale realized volatility measures
scientific article

    Statements

    Discrete sine transform for multi-scale realized volatility measures (English)
    0 references
    0 references
    0 references
    26 June 2012
    0 references
    0 references
    high frequency data
    0 references
    realized volatility
    0 references
    market microstructure
    0 references
    bias correction
    0 references
    0 references