Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Year of publication: |
2006
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Authors: | Andreou, Elena ; Ghysels, Eric |
Published in: |
Econometric analysis of financial and economic time series ; part a ; 20. - Amsterdam [u.a.] : Elsevier JAI, ISBN 0-7623-1274-2. - 2006, p. 155-181
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Subject: | Börsenkurs | Share price | Volatilität | Volatility | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution |
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