아프리카ㆍ중동
연구정보
[지역] A realised volatility measurement using quadratic variation and dealing with microstructure effects
아프리카ㆍ 중동 일반 국외연구자료 학술논문 C du Toit, WJ Conradie ORiON 발간일 : 2006-12-31 등록일 : 2018-06-01 원문링크
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.
본 페이지에 등재된 자료는 운영기관(KIEP) 및 EMERiCs의 공식적인 입장을 대변하고 있지 않습니다.
