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.
|Number of pages||1|
|Journal||Expo 2012 Higher Degree Research : book of abstracts|
|Publication status||Published - 2012|
|Event||Higher Degree Research Expo (8th : 2012) - Sydney|
Duration: 12 Nov 2012 → 13 Nov 2012