Consistent estimator of ex-post covariation of discretely observed diffusion processes and its application to high frequency financial time series
First chapter of my thesis reviews recent developments in the theory and practice of volatility measurement. We review the basic theoretical framework and describe the main approaches to volatility measurement in continuous time. In this literature the central parameter of interest is the integrated...
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London School of Economics and Political Science (University of London)
2011
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.547247 |