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Keyword: high frequency data;
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Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
With increasing availability of high frequency financial data as a background, various volatility measures and related statistical theory are developed in the recent literature. This paper introduces the method of empiri...Read more...
21 February 2017
We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empiric...Read more...
15 January 2015