Estimating the daily variance of risky assets using high frequency data

Colin Bowers

Research output: Contribution to journalMeeting abstract

Abstract

The problem of estimating the daily variance of risky assets using high frequency data is considered. The advantages and disadvantages of different model specifications is discussed. Several estimators are compared via both simulations and empirical work.
Original languageEnglish
Pages (from-to)13
Number of pages1
JournalExpo 2012 Higher Degree Research : book of abstracts
Publication statusPublished - 2012
EventHigher Degree Research Expo (8th : 2012) - Sydney
Duration: 12 Nov 201213 Nov 2012

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