Open AccessVolatility Computations for Financial Time Series: High Frequency and Hybrid Method
Author(s) -
Jong-Hyun Yoon,
Sun Young Hwang
Publication year - 2015
Publication title -
eung'yong tong'gye yeon'gu/the korean journal of applied statistics
Language(s) - English
Resource type - Journals
eISSN - 2383-5818
pISSN - 1225-066X
DOI - 10.5351/kjas.2015.28.6.1163
Subject(s) - volatility (finance) , autoregressive conditional heteroskedasticity , smoothing , econometrics , computation , financial models with long tailed distributions and volatility clustering , computer science , forward volatility , stochastic volatility , realized variance , finance , mathematics , algorithm , economics , computer vision