A simple approximate long-memory model of realized volatility

Journal of Financial Econometrics

Volumn 7, Issue 2, 2009, Pages 174-196

  Corsi, Fulvio ^a  

^a UNIVERSITY OF LUGANO   (Switzerland)

Author keywords

High frequency data; Long memory models; Realized volatility; Volatility forecast

Indexed keywords

EID: 62849101579     PISSN: 14798409     EISSN: 14798417     Source Type: Journal    
DOI: 10.1093/jjfinec/nbp001     Document Type: Article

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