15 June 2007 Measuring volatility and correlations with high-frequency data
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Proceedings Volume 6601, Noise and Stochastics in Complex Systems and Finance; 66010F (2007) https://doi.org/10.1117/12.724598
Event: SPIE Fourth International Symposium on Fluctuations and Noise, 2007, Florence, Italy
Abstract
We review applications, published in three separate papers, of a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to less noisy estimates than the traditional methodologies proposed so far.
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Giulia Iori, Giulia Iori, } "Measuring volatility and correlations with high-frequency data", Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010F (15 June 2007); doi: 10.1117/12.724598; https://doi.org/10.1117/12.724598
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