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Full-Text Articles in Statistical Methodology
Noise Reduced Realized Volatility: A Kalman Filter Approach, Douglas Steigerwald, John Owens
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.
Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni
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.
Modeling Volatility Dynamics, Douglas Steigerwald
Modeling Volatility Dynamics, Douglas Steigerwald
Douglas G. Steigerwald
No abstract provided.