| dc.contributor.author | HANSEN, Peter Reinhard | |
| dc.contributor.author | HOREL, Guillaume | |
| dc.contributor.author | LUNDE, Asger | |
| dc.contributor.author | ARCHAKOV, Ilya | |
| dc.date.accessioned | 2016-01-21T12:44:27Z | |
| dc.date.available | 2016-01-21T12:44:27Z | |
| dc.date.issued | 2016 | |
| dc.identifier.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 | en |
| dc.identifier.isbn | 9783319258249 | |
| dc.identifier.isbn | 9783319258263 | |
| dc.identifier.uri | https://hdl.handle.net/1814/38585 | |
| dc.description.abstract | 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. | en |
| dc.language.iso | en | en |
| dc.publisher | Springer | en |
| dc.title | A Markov chain estimator of multivariate volatility from high frequency data | en |
| dc.type | Contribution to book | en |
| dc.identifier.doi | 10.1007/978-3-319-25826-3 | |