Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results
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- Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 363-376, July.
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More about this item
Keywords
High-frequency data; volatility; continuous record asymptotics; Monte Carlo simulations; Données haute fréquence; volatilité; Monte Carlo;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2000-06-05 (Econometrics)
- NEP-FMK-2000-06-05 (Financial Markets)
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