Baruník, Jozef; Vácha, Lukáš - Institut für Volkswirtschaftslehre, … - 2014
We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time …-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized … variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are …