Article ID Journal Published Year Pages File Type
5084993 International Review of Financial Analysis 2013 12 Pages PDF
Abstract
► Realized volatility properties of the French, German and U.S. spot equity markets ► Realized volatility (RV) estimation: sparse-, optimal- and sub-sampling ► RV estimation: moving average and Bartlett kernel autocovariances ► Empirical analysis of jumps: frequency, dependence, autocorrelation & duration ► In-sample modeling jumps and heterogeneity
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Nonparametric realized volatility estimation in the international equity markets
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