This paper clarifies the foreign latest result on realized volatility in detail.
较为详细地阐述了国外对实际波动率研究的最新成果。
Under simulated tests, the effects of microstructure on realized range-based volatility and realized volatility are compared.
在模拟试验的基础上，比较了微观结构效应对两种波动率度量方法的影响程度。
At first, the paper proves that the realized range-based volatility is more efficient than the realized volatility in estimating volatility.
文章首先证明了已实现极差波动是比已实现波动更有效的波动估计量。
In this paper, we compare realized volatility and weighted realized volatility from four aspects: defnition, bias, efficiency and calendar effect.
本文从定义形式、无偏性、有效性、日历效应等方面对已实现波动和赋权已实现波动加以比较。
In this paper, we compare realized volatility and weighted realized volatility from four aspects: defnition, bias, efficiency and calendar effect.
本文从定义形式、无偏性、有效性、日历效应等方面对已实现波动和赋权已实现波动加以比较。
应用推荐