Assessing the Performance of Different Volatility Estimators: A Monte Carlo Analysis

DOI10.1080/1350486X.2011.646513zbMath1372.91121OpenAlexW3125003745MaRDI QIDQ5363233

Dimitrios Karyampas, Álvaro Cartea

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2011.646513

zbMATH Keywords

jumpshigh-frequency datavolatilitymicrostructure noise

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Threshold bipower variation and the impact of jumps on volatility forecasting ⋮ The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets

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