Volatility estimation on the basis of price intensities

Journal of Empirical Finance

Volumn 9, Issue 1, 2002, Pages 57-89

  Gerhard, Frank ^a,b   Hautsch, Nikolaus ^b  

^a NUFFIELD COLLEGE   (United Kingdom)

^b UNIVERSITY OF KONSTANZ   (Germany)

Author keywords

High frequency data; Intraday and time to maturity seasonalities; Price durations; Proportional hazard model

Indexed keywords

EID: 0036144229     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00045-7     Document Type: Article

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