Noise reduced realized volatility: a kalman filter approach

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Publication:3571968

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DOI10.1016/S0731-9053(05)20008-7zbMath1190.91163OpenAlexW1598822445MaRDI QIDQ3571968

John P. Owens, Douglas G. Steigerwald

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20008-7

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (2)

Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading ⋮ Data-based ranking of realised volatility estimators

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