𝔖 Bobbio Scriptorium
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Bootstrapping Realized Volatility

✍ Scribed by Sílvia Gonçalves; Nour Meddahi

Book ID
111857371
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
264 KB
Volume
77
Category
Article
ISSN
0012-9682

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We provide a framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Building on the theory of continuous-time arbitrage-free price processes and the theory of quadratic varia