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Erratum to ON the variance of the error associated to the squared return as proxy of volatility: [Applied Financial Economics Letters, 2007, 3, 255-7]
Triacca, Umberto - In: Applied Financial Economics Letters 4 (2008) 6, pp. 417-417
Persistent link: https://www.econbiz.de/10004988310
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On the variance of the error associated to the squared return as proxy of volatility
Triacca, Umberto - In: Applied Financial Economics Letters 3 (2007) 4, pp. 255-257
In this article we derive, under two different stochastic volatility models, the expression of the variance of the error associate to the use of the squared return as proxy of daily volatility.
Persistent link: https://www.econbiz.de/10004988381