Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise

Research, Article, Preprint English OPEN
Nolte, Ingmar; Voev, Valeri;
(2009)

The expected value of sums of squared intraday returns (realized variance)<br/>gives rise to a least squares regression which adapts itself to the assumptions of<br/>the noise process and allows for a joint inference on integrated volatility (IV),<br/>noise moments and ... View more
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