haku: @indexterm Macroeconomics / yhteensä: 544
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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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