Veredas, David; Luciani, Mattéo - European Centre for Advanced Research in Economics and … - 2011
Realized volatilities, when observed through time, share the following stylized facts: co–movements, clustering, long … the approach and an application to 90 daily realized volatilities, pertaining to S&P100, from January 2001 to December … market characteristic. iv) The volatility of the realized volatility is not constant and common to all. v) A forecasting …