Realized volatility: A review

Econometric Reviews

Volumn 27, Issue 1-3, 2008, Pages 10-45

  McAleer, Michael ^a   Medeiros, Marcelo C ^b  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

^b PONTIFICAL CATHOLIC UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

Continuous time processes; Finance; Financial econometrics; Forecasting; High frequency data; Quadratic variation; Realized volatility; Risk; Trading rules

Indexed keywords

EID: 40549142517     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930701853509     Document Type: Article

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