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Book Chapter

Estimating Volatility for Long Holding Periods

  • Kiesel R
  • Perraudin W
  • Taylor A
DOI: 10.1007/978-1-4612-1214-0_2
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Abstract

Abstract: Sample volatilities calculated from short-interval (daily) data do not necessarily imply much about volatility of financial assets over long (yearly) horizons. In this note we construct a model-free volatility estimator to investigate the long horizon volatility of ...

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APA

Kiesel, R., Perraudin, W., & Taylor, A. (2000). Estimating Volatility for Long Holding Periods (pp. 19–31). https://doi.org/10.1007/978-1-4612-1214-0_2

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