...对利用高频数据计算波动率作出贡献最大要数Andersen与Bollerslev两人近年来的工作,他们提出用已实现波动(Realized Volatility)作为市场波动水平的 4 天津大学博士学位论文:基于高频数据的金融市场分析测量方法。
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文章首先证明了已实现极差波动是比已实现波动更有效的波动估计量。
At first, the paper proves that the realized range-based volatility is more efficient than the realized volatility in estimating volatility.
本文从定义形式、无偏性、有效性、日历效应等方面对已实现波动和赋权已实现波动加以比较。
In this paper, we compare realized volatility and weighted realized volatility from four aspects: defnition, bias, efficiency and calendar effect.
最后,在一个具体的时间段采用高频数据对不对称性作出估计,我们应用已实现波动率的方法并用线形模型做出了估计。
Finally, it makes the asymmetric estimation with high-frequency data in a specific period, using the method of realized volatility and the line model.
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