Properties of realized variance under alternative sampling schemes
Article Abstract:
The utility of the pure jump process for optimal sampling of high-frequency data, to examine the properties of realized variance of stock prices under alternative sampling schemes, is examined.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
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Rejoinder
Article Abstract:
The methods of estimating the future trends of stock price volatility, based on the relation between market microstructure noise and realized variance of stock prices, are described.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
Realized variance amd market microstructure noise
Article Abstract:
The empirical analysis of the impact of market microstructure noise, on the realized variance in high-frequency data on Dow Jones Industrial Average stocks is presented.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
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