A Markov Chain Estimator of Multivariate Volatility from High Frequency Data
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Publication:2956061
DOI10.1007/978-3-319-25826-3_17zbMath1359.62344MaRDI QIDQ2956061
Ilya Archakov, Asger Lunde, Guillaume Horel, Peter Reinhard Hansen
Publication date: 16 January 2017
Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)
Full work available at URL: https://pure.au.dk/ws/files/86343767/rp15_19.pdf
Markov chain; quadratic variation; high frequency data; integrated variance; realized variance; multivariate volatility
60J22: Computational methods in Markov chains
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M05: Markov processes: estimation; hidden Markov models
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Cites Work
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