Three-point approach for estimating integrated volatility and integrated covariance
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Publication:2879047
DOI10.1080/14697688.2013.779015zbMath1294.91199OpenAlexW2071169328WikidataQ57700616 ScholiaQ57700616MaRDI QIDQ2879047
Publication date: 5 September 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.779015
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
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- Option pricing when underlying stock returns are discontinuous
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- A Tale of Two Time Scales
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