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Fourier Spot Volatility Estimator: Asymptotic Normality and Efficiency with Liquid and Illiquid High-Frequency Data
The recent availability of high frequency data has permitted more efficient ways of computing volatility. However, estimation of volatility from asset price observations is challenging because observed high frequency data are generally affected by noise-microstructure effects. We address this issue...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2015
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4589382/ https://www.ncbi.nlm.nih.gov/pubmed/26421617 http://dx.doi.org/10.1371/journal.pone.0139041 |