haku: @author Gerhard, F. / yhteensä: 2
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| Tekijä: | Gerhard, F. Hautsch, N. |
| Otsikko: | Volatility estimation on the basis of price intensities |
| Lehti: | Journal of Empirical Finance
2002 : JAN, VOL. 9:1, p. 57-89 |
| Asiasana: | Econometric models Prices Macroeconomics |
| Kieli: | eng |
| Tiivistelmä: | The authors investigate the use of price intensities, i. e. the time between price changes of a given size, to estimate volatilities based on high-frequency data. They interpret the conditional probability for the occurance of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional volatility per time. |
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