A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data
收藏NBER2003-11-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w10111
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资源简介：
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 by recent empirical studies in finance. This work attempts to lay out theoretical grounds that
提供机构：
美国国家经济研究局
创建时间：
2003-11-01
