Title:Essays in applied econometrics of high frequency financial data Author(s):ARCHAKOV, IlyaDate:2016Citation:
- Florence : European University Institute, 2016
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract: filter. We apply our framework to model the crude oil futures prices. Using more than 150,000,000 transactions for the large panel of contracts we carefully construct the realized volatility measures corresponding to the ...