Simona, Sanfelici; Adamo, Uboldi - In: Studies in Nonlinear Dynamics & Econometrics 18 (2014) 2, pp. 22-22
The aim of this paper is to measure and assess the accuracy of different volatility estimators based on high frequency data in an option pricing context. For this, we use a discrete-time stochastic volatility model based on Auto-Regressive-Gamma (ARG) dynamics for the volatility. First, ARG...