Xu, Dinghai; Li, Yuying - In: Frontiers of Economics in China 7 (2012) 1, pp. 22-43
Increasing attention has been focused on the analysis of the realized volatility, which can be treated as a proxy for the true volatility. In this paper, we study the potential use of the realized volatility as a proxy in a stochastic volatility model estimation. We estimate the leveraged...
