Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002
models for the observable realized volatilities, constructed from the summation of high-frequency squared returns. Building … frequency of the returns underlying the realized volatility measures. On numerically quantifying this efficiency loss for such … popular continuous-time models as GARCH, multi-factor affine, and log-normal diffusions, we find that the realized volatility …