摘要
利用双时间序的原理,对高频数据下的积分波动率估计进行了偏差校正.并且在理论上进行了证明,数值模拟验证了理论的可行性.
Using two time scales,deviation correction of integal volatility estimates under high frequency data was made,and the theoretical proof was given,the feasibility of theory was verified by numerical simulation.
出处
《甘肃联合大学学报（自然科学版）》
2013年第2期14-17,共4页
Journal of Gansu Lianhe University :Natural Sciences
关键词
积分波动率
微观结构噪声
Ito半鞅
integral volatility
microstructure noise
Ito semi-martingales
