Model-Based Measurement of Actual Volatility in High-Frequency Data

DOI10.1016/S0731-9053(05)20007-5zbMath1190.91160OpenAlexW2142677531MaRDI QIDQ3571966

Siem Jan Koopman, B. Jungbacker

Publication date: 30 June 2010

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

Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20007-5

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09)

Uses Software

• SsfPack

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