Discrete sine transform for multi-scale realized volatility measures

DOI10.1080/14697688.2010.490561zbMath1241.91130MaRDI QIDQ2893209

Giuseppe Curci, Fulvio Corsi

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4433/1/CurciCorsi_DST_MS_sub10.pdf

zbMATH Keywords

bias correction; high frequency data; market microstructure; realized volatility

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

Related Items

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach, Volatility Estimation Based on High-Frequency Data, The Volatility of Realized Volatility

Cites Work

• Measuring volatility with the realized range
• Realized range-based estimation of integrated variance
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Long memory in continuous-time stochastic volatility models
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Tale of Two Time Scales