Discrete sine transform for multi-scale realized volatility measures

DOI10.1080/14697688.2010.490561zbMath1241.91130OpenAlexW2144939462MaRDI QIDQ2893209

Fulvio Corsi, Giuseppe Curci

Publication date: 26 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/4433/1/CurciCorsi_DST_MS_sub10.pdf

zbMATH Keywords

bias correctionhigh frequency datamarket microstructurerealized volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Related Items (9)

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach ⋮ Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors ⋮ The Volatility of Realized Volatility ⋮ Spectral Estimation of Covolatility from Noisy Observations Using Local Weights ⋮ Estimating quadratic variation when quoted prices change by a constant increment ⋮ Ultra high frequency volatility estimation with dependent microstructure noise ⋮ Functional stable limit theorems for quasi-efficient spectral covolatility estimators ⋮ Volatility Estimation Based on High-Frequency Data ⋮ Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method

Cites Work

• Measuring volatility with the realized range
• Realized range-based estimation of integrated variance
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Long memory in continuous-time stochastic volatility models
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• The Distribution of Realized Exchange Rate Volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A Tale of Two Time Scales

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