Estimating Volatility for Long Holding Periods

MEASURING RISK IN COMPLEX STOCHASTIC SYSTEMS: SPRINGER LECTURE NOTES IN STATISTICS, Vol. 147, Jurgen Franke, Wolfgang Hardle, Gerhard Stahl, eds., Springer Verlag, 2011

16 Pages Posted: 17 Nov 2011

See all articles by William Robert Maurice Perraudin

William Robert Maurice Perraudin

Risk Control Limited

Rudiger Kiesel

affiliation not provided to SSRN

Alex Taylor

affiliation not provided to SSRN

Date Written: January 1, 2000

Abstract

Sample volatilities calculated from short-interval (daily) data do not necessarily imply much about volatility of financial assets over long (yearly) horizons. In this note we construct a model-free volatility estimator to investigate the long horizon volatility of various short-term interest rate series and study implications for short-rate models.

Keywords: Volatility, financial assets, interest rate time series

JEL Classification: E30

Suggested Citation

Perraudin, William Robert Maurice and Kiesel, Rudiger and Taylor, Alex, Estimating Volatility for Long Holding Periods (January 1, 2000). MEASURING RISK IN COMPLEX STOCHASTIC SYSTEMS: SPRINGER LECTURE NOTES IN STATISTICS, Vol. 147, Jurgen Franke, Wolfgang Hardle, Gerhard Stahl, eds., Springer Verlag, 2011, Available at SSRN: https://ssrn.com/abstract=1961026

William Robert Maurice Perraudin (Contact Author)

Risk Control Limited ( email )

13-14 Dean Street
London, SE21 8LU
United Kingdom

Rudiger Kiesel

affiliation not provided to SSRN ( email )

Alex Taylor

affiliation not provided to SSRN ( email )

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