Volatility and realized quadratic variation of differenced returns : A wavelet method approach
Download full text from publisher
References listed on IDEAS
- Jan Bartholdy & Dennis Olson & Paula Peare, 2007.
"Conducting Event Studies on a Small Stock Exchange,"
The European Journal of Finance,
Taylor & Francis Journals, vol. 13(3), pages 227-252.
- Bartholdy, Jan & Olson, Dennis & Peare, Paula, 2006. "Conducting event studies on a small stock exchange," Finance Research Group Working Papers F-2006-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Christiansen, Charlotte, 2008.
"Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates,"
International Review of Financial Analysis,
Elsevier, vol. 17(5), pages 925-948, December.
- Christiansen, Charlotte, 2005. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," Finance Research Group Working Papers F-2005-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen, 2007. "Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates," CREATES Research Papers 2007-05, Department of Economics and Business Economics, Aarhus University.
- Bartholdy, Jan & Mateus, Cesário, 2006. "Debt and Taxes: Evidence from bank-financed unlisted firms," Finance Research Group Working Papers F-2006-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June.
- Anand, Amber & Tanggaard, Carsten & Weaver, Daniel G., 2009. "Paying for Market Quality," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(06), pages 1427-1457, December.
- Charlotte Christiansen & Angelo Ranaldo, 2007.
"Realized bond—stock correlation: Macroeconomic announcement effects,"
Journal of Futures Markets,
John Wiley & Sons, Ltd., vol. 27(5), pages 439-469, May.
- Christiansen, Charlotte & Ranaldo, Angelo, 2005. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Finance Research Group Working Papers F-2005-05, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Charlotte Christiansen & Angelo Ranaldo, 2006. "Realized Bond-Stock Correlation: Macroeconomic Announcement Effects," Working Papers 2006-02, Swiss National Bank.
- Andrea Consiglio & Domenico De Giovanni, 2010.
"Pricing the Option to Surrender in Incomplete Markets,"
Journal of Risk & Insurance,
The American Risk and Insurance Association, vol. 77(4), pages 935-957.
- Consiglio, Andrea & De Giovanni, Domenico, 2007. "Pricing the Option to Surrender in Incomplete Markets," Finance Research Group Working Papers F-2007-02, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- David C. Porter & Carsten Tanggaard & Daniel G. Weaver & Wei Yu, 2008. "Dispersed Trading and the Prevention of Market Failure: the Case of the Copenhagen Stock Exchange," European Financial Management, European Financial Management Association, vol. 14(2), pages 243-267.
- Asger Lunde & Esben Hoeg, 2003. "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003 274, Society for Computational Economics.
- Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility of diffusion processes with high frequency data," Economics Letters, Elsevier, vol. 74(3), pages 371-378, February.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Charlotte Christiansen & Juanna Shröter Joensen & Jesper Rangvid, 2005. "Do More Economists Hold Stocks?," Economics Working Papers 2005-06, Department of Economics and Business Economics, Aarhus University.
- Maria Elvira Mancino & Paul Malliavin, 2002. "Fourier series method for measurement of multivariate volatilities," Finance and Stochastics, Springer, vol. 6(1), pages 49-61.
More about this item
Keywordscontinuous-time methods; quadratic variation; realized volatility; second order quadratic variation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-04-25 (All new papers)
- NEP-ECM-2009-04-25 (Econometrics)
- NEP-FMK-2009-04-25 (Financial Markets)
- NEP-MST-2009-04-25 (Market Microstructure)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhb:aarbfi:2008-06. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Helle Vinbaek Stenholt). General contact details of provider: http://edirc.repec.org/data/ifhhadk.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.