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Colin Bowers

First Name: Colin
Surname: Bowers
Department Dept of Economics
Supervisor(s): Mr Christopher Heaton , Dr Roselyne Joyeux

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Paper Title

Estimating the Daily Variance of Risky Assets Using High Frequency Data

Abstract

The problem of estimating the daily variance of risky assets using high frequency data is considered. The advantages and disadvantages of different model specifications is discussed. Several estimators are compared via both simulations and empirical work.