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05-002/4 - Model-based Measurement of Actual Volatility in High-Frequency Data


  • Authors
    B. Jungbacker, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; S.J. Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
  • Publication date
    January 5, 2005
  • Keywords
    Importance sampling; Maximum likelihood estimation; Micro-structure noise; Realised variance; Stochastic volatility model
  • JEL
    C22; C53; G15