| Autor: |
Asger Lunde, Peter Reinhard Hansen, Ilya Archakov, Guillaume Horel |
| Rok vydání: |
2015 |
| Předmět: |
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| Zdroj: |
SSRN Electronic Journal. |
| ISSN: |
1556-5068 |
| DOI: |
10.2139/ssrn.3178925 |
| Popis: |
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. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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