Discrete sine transform for multi-scale realized volatility measures§

@inproceedings{Curci2012DiscreteST,
  title={Discrete sine transform for multi-scale realized volatility measures§},
  author={Giuseppe Curci and Fulvio Corsi},
  year={2012}
}
In this study we present a new realized volatility estimator based on a combination of the multi-scale regression and discrete sine transform (DST) approaches. Multi-scale estimators similar to that recently proposed by Zhang (2006) can, in fact, be constructed within a simple regression-based approach by exploiting the linear relation existing between the market microstructure bias and the realized volatilities computed at different frequencies. We show how such a powerful multi-scale… CONTINUE READING
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