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Search: subject:"continuous record asymptotics"
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continuous record asymptotics
2
Données haute fréquence
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High-frequency data
1
Monte Carlo
1
Monte Carlo simulations
1
non linear ARCH
1
option pricing theory
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stochastic volatility
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volatility
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volatilité
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English
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Andreou, Elena
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Fornari, Fabio
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Ghysels, Eric
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Mele, Antonio
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
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RePEc
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Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
Andreou, Elena
;
Ghysels, Eric
-
Centre Interuniversitaire de Recherche en Analyse des …
-
2000
volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a
continuous
record
asymptotics
…
Persistent link: https://www.econbiz.de/10005100672
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2
Weak convergence and distributional assumptions for a general class of nonliner arch models
Fornari, Fabio
;
Mele, Antonio
- In:
Econometric Reviews
16
(
1997
)
2
,
pp. 205-227
Persistent link: https://www.econbiz.de/10005644443
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