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Proceedings Paper

Measuring volatility and correlations with high-frequency data
Author(s): Giulia Iori
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Paper 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.

Paper Details

Date Published: 15 June 2007
PDF: 8 pages
Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010F (15 June 2007); doi: 10.1117/12.724598
Show Author Affiliations
Giulia Iori, City Univ. (United Kingdom)


Published in SPIE Proceedings Vol. 6601:
Noise and Stochastics in Complex Systems and Finance
János Kertész; Stefan Bornholdt; Rosario N. Mantegna, Editor(s)

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