The distribution of realized stock return volatility

Journal of Financial Economics

Volumn 61, Issue 1, 2001, Pages 43-76

  Andersen, Torben G ^a   Bollerslev, Tim ^b   Diebold, Francis X ^c   Ebens, Heiko ^d  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

^d JOHNS HOPKINS UNIVERSITY   (United States)

Author keywords

C10; C20; Correlation; Equity markets; G10; High frequency data; Integrated volatility; Long memory

Indexed keywords

EID: 0035402387     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00055-1     Document Type: Article

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