A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Publikation: Working paperForskning

Dokumenter

  • rp15_19

    Indsendt manuskript, 1,13 MB, PDF-dokument

We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to highfrequency commodity prices.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider34
StatusUdgivet - 28 apr. 2015
SerietitelCREATES Research Papers
Nummer2015-19

    Forskningsområder

  • Markov chain, Multivariate Volatility, Quadratic Variation, Integrated Variance, Realized Variance, High Frequency Data

Se relationer på Aarhus Universitet Citationsformater

Download-statistik

Ingen data tilgængelig

ID: 86343765