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Thesis

Estimation of the variation of prices using high-frequency financial data

Abstract:

When high-frequency data is available, realised variance and realised absolute variation can be calculated from intra-day prices. In the context of a stochastic volatility model, realised variance and realised absolute variation can estimate the integrated variance and the integrated spot volatility respectively. A central limit theory enables us to do filtering and smoothing using model-based and model-free approaches in order to improve the precision of these estimators.

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Institution:
University of Oxford
Division:
MPLS
Role:
Author

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Role:
Supervisor
Role:
Supervisor
Publication date:
2005
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Source identifiers:
603849540
Language:
English
Subjects:
UUID:
uuid:1b520271-2a63-428d-b5a0-e7e9c4afdc66
Local pid:
td:603849540
Deposit date:
2013-06-22

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