Measuring and modelling realized volatility : from tick-by-tick to long memory
121
Thèse de doctorat: Università della Svizzera italiana, 2005 (jury note: summa cum laude)
English
This study develops new realized volatility and correlation estimators which, while fully exploiting all the available information contained in tick-by-tick data, effectively correct for the bias induced by microstructure effects. Building on such high frequency measures, it also proposes new conditional volatility models able to provide accurate and easy-to-implement volatility forecasts.
-
Language
-
-
Classification
-
Economics
-
License
-
License undefined
-
Identifiers
-
-
Persistent URL
-
https://n2t.net/ark:/12658/srd1317904