Date: 2016
Type: Contribution to book
A Markov chain estimator of multivariate volatility from high frequency data
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
HANSEN, Peter Reinhard, HOREL, Guillaume, LUNDE, Asger, ARCHAKOV, Ilya, A Markov chain estimator of multivariate volatility from high frequency data, in 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
- https://hdl.handle.net/1814/38585
Retrieved from Cadmus, EUI Research Repository
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.
Cadmus permanent link: https://hdl.handle.net/1814/38585
Full-text via DOI: 10.1007/978-3-319-25826-3
ISBN: 9783319258249; 9783319258263
Publisher: Springer
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