Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Year of publication: |
2003
|
---|---|
Authors: | Andersen, Torben G. ; Bollerslev, Tim ; Francis X. Diebold |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS) |
Subject: | Continuous-time methods | jumps | quadratic variation | realized volatility | bi-power variation | high-frequency data | volatility forecasting | HAR-RV model |
Series: | CFS Working Paper ; 2003/35 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 751752878 [GVK] hdl:10419/72654 [Handle] RePEc:zbw:cfswop:200335 [RePEc] |
Classification: | C1 - Econometric and Statistical Methods: General ; G1 - General Financial Markets |
Source: |
-
Andersen, Torben G., (2003)
-
Andersen, Torben G., (2003)
-
Andersen, Torben G., (2003)
- More ...
-
Realized beta: Persistence and predictability
Andersen, Torben G., (2004)
-
Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G., (2004)
-
Practical volatility and correlation modeling for financial market risk management
Andersen, Torben G., (2005)
- More ...