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Integrated Volatility

Chapter

Abstract

Having a general framework to model asset prices, it is the purpose of this chapter to obtain the instruments to estimate the latent integrated volatility on a ultra-high-frequency scale. Using tick-by-tick data measured in milliseconds rather than in minutes, hours, or days, the most promising approach are realized volatility estimators.

Keywords

Stylize Fact Price Process Transaction Time Periodicity Factor Volatility Estimate 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Fachmedien Wiesbaden 2016

Authors and Affiliations

  1. 1.Wirtschaftswissenschaftliche FakultätKath. Universität Eichstätt-IngolstadtIngolstadtGermany

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