搜索结果: 1-2 共查到“数量经济学 high frequency data”相关记录2条 . 查询时间(0.109 秒)
Correction to "Leverage and volatility feedback effects in high-frequency data" [J. Financial Econometrics 4 (2006) 353--384]
Leverage volatility feedback effects
2010/10/29
Bollerslev et al. (2006) study the cross-covariances for squared returns under the Heston
(1993) stochastic volatility model. In order to obtain these cross-covariances the authors
use an incorrect ...
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Bias-correction Market microstructure Martingale Measurement error Realized volatility Subsampling
2014/3/13
It is a common practice in finance to estimate volatility from the sum of frequently sampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenced ...