Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics

With an eye toward financial asset pricing, asset allocation, and risk management, I review and interpret the rapidly-growing literature on modeling and forecasting realized volatility constructed from high-frequency returns. I discuss a variety of applications and extensions, including recent work on realized betas, and methods for disentangling the continuous and jump components of total return variability in stock, bond and foreign exchange markets.

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Year of publication:	2004-08-11
Authors:	Diebold, Francis X.
Institutions:	Econometric Society
Subject:	volatility measurement \| forecasting performance \| realized volatilities

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Series:	Econometric Society 2004 Australasian Meetings.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Econometric Society Australasian Meetings 2004 Number 352
Classification:	G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005342135