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.
When the...
Expand abstract
Actions
Bibliographic Details
- Publication date:
- 2005
- Type of award:
- DPhil
- Level of award:
- Doctoral
- Awarding institution:
- University of Oxford
Item Description
- Language:
- English
- Subjects:
- UUID:
-
uuid:1b520271-2a63-428d-b5a0-e7e9c4afdc66
- Local pid:
- td:603849540
- Source identifiers:
-
603849540
- Deposit date:
- 2013-06-22
Terms of use
- Copyright holder:
- Ysusi Mendoza, Carla Mariana
- Copyright date:
- 2005
- Notes:
- The digital copy of this thesis has been made available thanks to the generosity of Dr Leonard Polonsky
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record