Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
We explore intraday transaction records from NASDAQ OMX Commodities Europe from January 2006 to October 2013. We analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH framework for the joint modeling of returns and realized...