2008•Journal of China University of Geosciences(Social Sciences Edition)Requires access
Comparative Study of Volatility Estimation Methods for High Frequency Financial Data
Zhang Shi-ying
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Abstract
This paper compares the three financial volatility estimators based on high-frequency time series which has recently appeared from the angles of calculation method,statistic property and application scope,and does some practical study.This work offers the principle of how to select the financial volatility estimator based on high-frequency data for theoretical researchers and practical manipulators.