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

Covariance Peri Autocorrelation Volatility Estima 

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Copyright information

© Springer Fachmedien Wiesbaden 2016

Authors and Affiliations

  1. 1.Wirtschaftswissenschaftliche FakultätKath. Universität Eichstätt-IngolstadtIngolstadtGermany

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