Corsi, Fulvio; Mittnik, Stefan; Pigorsch, Christian; … - In: Econometric Reviews 27 (2008) 1-3, pp. 46-78
In recent years, with the availability of high-frequency financial market data modeling realized volatility has become … a new and innovative research direction. The construction of “observable” or realized volatility series from intra … (daily) volatility. In this article, we show that the residuals of commonly used time-series models for realized volatility …