1) realized variance
已实现方差
2) realized covariance matrix
"已实现"协方差
3) realized range-based volatility
已实现极差波动
1.
Comparing research:Realized volatility and realized range-based volatility;
已实现波动和已实现极差波动的比较研究
2.
Weighted Realized Range-based Volatility Based on High-frequency Data and Its Empirical Analysis;
高频数据的加权已实现极差波动及其实证分析
3.
The key points and main achievements are listed as follows: 1)An optimal sampling method is given based on asymptotic distribution of error term between RV(realized volatility),RRV(realized range-based volatility) and IV(integrated volatility),respectively.
本文的主要工作和创新点如下: 1)分别基于已实现波动和已实现极差波动与积分波动之间误差项的渐近分布,给出了一个高频数据抽样方法。
4) weighted realized variance
赋权已实现变差
1.
Firstly,a weighted realized variance and a weighted realized covariance which are based on high frequency data are put forward.
首先提出了基于高频数据的赋权已实现变差估计量和赋权已实现协变差估计量。
5) realized bipower variation
"已实现"双幂次变差
1.
Analysis of the efficiency of realized bipower variation and realized multipower variation;
“已实现”双幂次变差与多幂次变差的有效性分析
6) weighted realized bipower variation
赋权"已实现"双幂次变差
补充资料：并合方差
分子式：
CAS号：
性质：是按加权方式计算出的各组的共同方差，当试验分m组进行，总的测定方差s2由m组的方差si2(i=1,2, …,m)共同决定。总方差，式中ni、fi和xi；分别为第i组的测定次数、自由度和平均值，xij是第i组的第j次测定值。
CAS号：
性质：是按加权方式计算出的各组的共同方差，当试验分m组进行，总的测定方差s2由m组的方差si2(i=1,2, …,m)共同决定。总方差，式中ni、fi和xi；分别为第i组的测定次数、自由度和平均值，xij是第i组的第j次测定值。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条