𝔖 Bobbio Scriptorium
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The distribution of realized stock return volatility

✍ Scribed by Torben G. Andersen; Tim Bollerslev; Francis X. Diebold; Heiko Ebens

Book ID
114221210
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
325 KB
Volume
61
Category
Article
ISSN
0304-405X

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## Abstract We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous‐time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation m