Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
- 1 December 2007
- journal article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 102 (480) , 1349-1362
- https://doi.org/10.1198/016214507000001067
Abstract
The wide availability of high-frequency data for many financial instruments stimulates an upsurge interest in statistical research on the estimation of volatility. Jump-diffusion processes observed...Keywords
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