Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Elena Andreou and Eric Ghysels
| Year of publication: |
2006
|
|---|---|
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003331375