Adrian Trapletti

Independent

Independent Consultant

Wildsbergstrasse 31

Uster CH-8610

United States

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Efficient Estimation of Volatility Using High Frequency Data

Number of pages: 22 Posted: 16 Apr 2002
Gilles O. Zumbach, Fulvio Corsi and Adrian Trapletti
University of Applied Sciences Western Switzerland - Geneva School of Business Administration, University of Pisa - Department of Economics and Independent
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Citation 12

Abstract:

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volatility estimators, high-frequency data, incoherent price formation, daily volatility