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Applied Statistics Commons™

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Economics

Asset price volatility

Publication Year

Articles 1 - 3 of 3

Full-Text Articles in Applied Statistics

Noise Reduced Realized Volatility: A Kalman Filter Approach, Douglas Steigerwald, John Owens Dec 2005

Noise Reduced Realized Volatility: A Kalman Filter Approach, Douglas Steigerwald, John Owens

Douglas G. Steigerwald

How should one remove microstructure noise from high-frequency asset prices? We show how to use the Kalman filter to efficiently remove microstructure noise.

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Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni Dec 2004

Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni

Douglas G. Steigerwald

How should one combine stock and option markets in models of trade and asset price volatility? We address this question, paying particular attention to the identification of parameters of interest.

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Modeling Volatility Dynamics, Douglas Steigerwald Dec 1994

Modeling Volatility Dynamics, Douglas Steigerwald

Douglas G. Steigerwald

No abstract provided.

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