Volatility Estimation Based on High-Frequency Data

DOI10.1007/978-3-642-17254-0_13zbMath1229.91364OpenAlexW87824767MaRDI QIDQ3112466

Ivaylo Popov, Uta Pigorsch, Christian Pigorsch

Publication date: 10 January 2012

Published in: Handbook of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-17254-0_13

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Stationary bootstrapping realized volatility ⋮ Stationary bootstrapping realized volatility under market microstructure noise ⋮ A new look at variance estimation based on low, high and closing prices taking into account the drift

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