Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - 2022
Volatility has been one of the most active areas of research in empirical finance and time series econometrics during … categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility … concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval …