05-002/4 - Model-based Measurement of Actual Volatility in High-Frequency Data

• Authors
  B. Jungbacker, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; S.J. Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
• Publication date
  January 5, 2005

• Keywords
  Importance sampling; Maximum likelihood estimation; Micro-structure noise; Realised variance; Stochastic volatility model
• JEL
  C22; C53; G15