Wavelet Estimation of Integrated Volatility
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 274.
Date of creation: 01 Aug 2003
Date of revision:
Financial Econometrics; Stochastic Volatility; Integrated Volatility; Estimation;
Find related papers by JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- G1 - Financial Economics - - General Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-ECM-2003-10-20 (Econometrics)
- NEP-ETS-2003-10-20 (Econometric Time Series)
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- Neil Shephard & Ole E. Barndorff-Nielsen, 2005.
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- Nielsen, Morten Ørregaard & Frederiksen, Per, 2008. "Finite sample accuracy and choice of sampling frequency in integrated volatility estimation," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 265-286, March.
- Høg, Esben, 2008. "Volatility and realized quadratic variation of differenced returns : A wavelet method approach," Finance Research Group Working Papers F-2008-06, University of Aarhus, Aarhus School of Business, Department of Business Studies.
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