A realised volatility measurement using quadratic variation and dealing with microstructure effects

A realised volatility measurement using quadratic variation and dealing with microstructure effects

0.00 Avg rating0 Votes
Article ID: iaor20083542
Country: South Africa
Volume: 22
Issue: 2
Start Page Number: 117
End Page Number: 129
Publication Date: Jan 2006
Journal: Orion
Authors: ,
Keywords: finance & banking, stochastic processes
Abstract:

A volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First the shortcomings of these measurements are briefly discussed. Then a modified realised volatility measurement is defined and relevant theoretical results are derived. Finally simulation results are used to evaluate these three volatility measurements.

Reviews

Required fields are marked *. Your email address will not be published.