A Markov chain estimator of multivariate volatility from high frequency data
Title: A Markov chain estimator of multivariate volatility from high frequency data
Citation: Mark PODOLSKIJ, Robert STELZER, Steen THORBJØRNSEN and Almut E. D. VERAART (eds), The fascination of probability, statistics and their applications : in Honour of Ole E. Barndorff-Nielsen, [S.l.] : Springer Verlag, 2016, pp. 361-394
ISBN: 9783319258249; 9783319258263
We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to high-frequency commodity prices.
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