Modeling and forecasting realized volatility

Econometrica

Volumn 71, Issue 2, 2003, Pages 579-625

  Andersen, Torben G ^a   Bollerslev, Tim ^b   Diebold, Francis X ^c   Labys, Paul ^d  

^a NORTHWESTERN UNIVERSITY   (United States)

^b DUKE UNIVERSITY   (United States)

^c UNIVERSITY OF PENNSYLVANIA   (United States)

^d CHARLES RIVER ASSOCIATES   (United States)

Author keywords

Continuous time methods; Density forecasting; High frequency data; Long memory; Quadratic variation; Realized volatility; Risk management; Volatility forecasting

Indexed keywords

FORECASTING; INTEGRATION; MATHEMATICAL MODELS; MATRIX ALGEBRA; REGRESSION ANALYSIS; RISK MANAGEMENT; VECTORS;

CONTINUOUS TIME ARBITRAGE FREE PRICE PROCESSES; HIGH FREQUENCY INTRADAY DATA; LOWER FREQUENCY RETURN VOLATILITIES; QUADRATIC VARIATION; REALIZED VOLATILITY; RETURN DISTRIBUTIONS;

ECONOMICS;

EID: 0037244925     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0262.00418     Document Type: Article

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