Dynamic Long Memory High Frequency Multipower Variation Volatility Evaluations for S&P500
نویسندگان
چکیده
منابع مشابه
Multipower Variation and Stochastic Volatility
In this brief note we review some of our recent results on the use of high frequency financial data to estimate objects like integrated variance in stochastic volatility models. Interesting issues include multipower variation, jumps and market microstructure effects.
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OLE E. BARNDORFF-NIELSEN1, JOSÉ MANUEL CORCUERA2 and MARK PODOLSKIJ3 1Department of Mathematical Sciences, University of Aarhus, Ny Munkegade, DK–8000 Aarhus C, Denmark. E-mail: [email protected] 2Universitat de Barcelona, Gran Via de les Corts Catalanes 585, 08007 Barcelona, Spain. E-mail: [email protected] 3Department of Mathematics, ETH Zürich, HG G32.2, 8092 Zürich, Switzerland. E-mail: mark.p...
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Recent empirical studies have argued that the temporal dependencies in "nancial market volatility are best characterized by long memory, or fractionally integrated, time series models. Meanwhile, little is known about the properties of the semiparametric inference procedures underlying much of this empirical evidence. The simulations reported in the present paper demonstrate that, in contrast t...
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ژورنال
عنوان ژورنال: Modern Applied Science
سال: 2016
ISSN: 1913-1852,1913-1844
DOI: 10.5539/mas.v10n5p1