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
โฆ LIBER โฆ
Modeling and Forecasting Realized Volatility
โ Scribed by Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Paul Labys
- Book ID
- 108556206
- Publisher
- John Wiley and Sons
- Year
- 2003
- Tongue
- English
- Weight
- 678 KB
- Volume
- 71
- Category
- Article
- ISSN
- 0012-9682
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