Abstract
We introduce a multivariate estimator of financial volatility that is based on the theory ofMarkov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to high-frequency commodity prices.
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APA
Hansen, P. R., Horel, G., Lunde, A., & Archakov, I. (2015). A markov chain estimator of multivariate volatility from high frequency data. In The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen (pp. 361–394). Springer International Publishing. https://doi.org/10.1007/978-3-319-25826-3_17
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