Browsing by Subject "Quadratic variation"
Now showing items 1-2 of 2
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Article
Monitoring disruptions in financial markets
(2006)We study historical and sequential CUSUM change-point tests for strongly dependent nonlinear processes. These tests are used to monitor the conditional variance of asset returns and to provide real-time information regarding ...
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Article
Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results
(2002)We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. ...