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Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures

Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures. Grace Shuting Wei Spring 2011. Main Points. Price Series Geometrics Returns Realized Variance Bipower Variance Relative Contribution of jumps Volatility Signature Plot. Data. GOOG (Google)

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375 views • 21 slides

High-Frequency Analysis of WFC and PFE

High-Frequency Analysis of WFC and PFE. Sean Puneky. Assumptions. All data has been scrubbed to remove any day where more than 10% of the values from that day were flagged as invalid All returns are log returns Inter-day returns were replaced with the returns from the minute before.

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240 views • 13 slides

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Volatility signature - PowerPoint PPT Presentation

Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures

High-Frequency Analysis of WFC and PFE