Volatility Estimation Based on High-Frequency Data

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

Christian Pigorsch, Uta Pigorsch, Ivaylo Popov

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

91G70: Statistical methods; risk measures

62G05: Nonparametric estimation

91G20: Derivative securities (option pricing, hedging, etc.)

Related Items

Stationary bootstrapping realized volatility under market microstructure noise, Stationary bootstrapping realized volatility

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