Estimating Daily Volatility from Intraday Data.

This study proposes a new approach to the estimation of daily volatility. This approach is different ( in the sense of using all available intraday price data) and unbiased ( in the sense of accounting for the high levels of autocorrelation found in intraday price data).

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Year of publication:	1996
Authors:	Bollen, B. ; Kofman, P.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	EVALUATION \| STATISTICS

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Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 13/96 20 pages
Classification:	C13 - Estimation ; C22 - Time-Series Models ; C23 - Models with Panel Data
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005087593