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joesyc
  • Member for 6 years, 11 months
  • Last seen more than 6 years ago
7 votes
1 answer
3k views

Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility

5 votes
1 answer
1k views

Measuring momentum as AR(1) process

4 votes
2 answers
16k views

Realized Volatility vs. Standard deviation of log returns

3 votes
2 answers
4k views

How to interpret Realized Volatility and TSRV using R

3 votes
1 answer
271 views

Derivation using Ito's Lemma of price process

3 votes
2 answers
540 views

What do you do with low r-squared when calculating high-frequency beta

2 votes
2 answers
301 views

impact model what volatility to use

1 vote
1 answer
79 views

Does it make sense to interpret autocorrelation and box test on 5 data points?

1 vote
1 answer
58 views

What is wrong in my non-linear estimation sample code?

1 vote
1 answer
2k views

Interpreting and scaling of Realized Variance with sample data

0 votes
1 answer
3k views

When measuring autocorrelation should you use log returns or prices?