Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations

DOI10.1016/S0731-9053(05)20006-3zbMath1190.91146MaRDI QIDQ3571965

Eric Ghysels, Elena Andreou

Publication date: 30 June 2010

Published in: Advances in Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09)

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