VOLATILITY ESTIMATION: GREAT REALISATIONS - In a world of continuous trading, accurate estimation of realised volatility is vital. In the first of two empirically flavoured papers, the authors show how high-frequency data can be used in an optimal way.
| Year of publication: |
2000
|
|---|---|
| Authors: | Andersen, Torben ; Bollerslev, Tim ; Diebold, Francis ; Labys, Paul |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 13.2000, 3, p. 105-109
|