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    • Generalized Variance: A Robust Estimator of Stock Price Volatility 

      Sutton, M; Vasnev, A; Gerlach, R (Business Analytics., 2015-04-30)
      This paper proposes an ex-post volatility estimator, called generalized variance, that uses high frequency data to provide measurements robust to the idiosyncratic noise of stock markets caused by market microstructures. ...