Abstract
The problem of estimating volatility is one of the most important topics in modern finance. Accurate specification of volatility is a prerequisite for modelling financial time series, such as interest rates or stocks, and crucially affects the pricing of contingent claims. Modelling volatility has therefore be widely discussed in the financial literature, see Campbell, Lo and MacKinlay (1997), chapter 12, Shiryaev (1999), chapter 4, or Taylor (1986), chapter 3 for overviews on the subject. The main focus in these studies has been to estimate volatility over short time periods and deduce results for longer period volatility from underlying models.
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Kiesel, R., Perraudin, W., Taylor, A. (2000). Estimating Volatility for Long Holding Periods. In: Franke, J., Stahl, G., Härdle, W. (eds) Measuring Risk in Complex Stochastic Systems. Lecture Notes in Statistics, vol 147. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-1214-0_2
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DOI: https://doi.org/10.1007/978-1-4612-1214-0_2
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