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Wavelet Estimation of Integrated Volatility

Author

Listed:
  • Asger Lunde
  • Esben Hoeg

Abstract

No abstract is available for this item.

Suggested Citation

  • Asger Lunde & Esben Hoeg, 2003. "Wavelet Estimation of Integrated Volatility," Computing in Economics and Finance 2003 274, Society for Computational Economics.
  • Handle: RePEc:sce:scecf3:274
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    Cited by:

    1. 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.
    2. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," Economics Papers 2005-W16, Economics Group, Nuffield College, University of Oxford.
    3. Barunik, Jozef & Krehlik, Tomas & Vacha, Lukas, 2016. "Modeling and forecasting exchange rate volatility in time-frequency domain," European Journal of Operational Research, Elsevier, vol. 251(1), pages 329-340.
    4. Wang, Fangfang, 2014. "Optimal design of Fourier estimator in the presence of microstructure noise," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 708-722.
    5. 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.

    More about this item

    Keywords

    Financial Econometrics; Stochastic Volatility; Integrated Volatility; Estimation;

    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

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