Realized volatility forecasting and market microstructure noise

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 220-234

  Andersen, Torben G ^a,b,c   Bollerslev, Tim ^b,c,d   Meddahi, Nour ^e  

^a NORTHWESTERN UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c AARHUS SCHOOL OF BUSINESS   (Denmark)

^d DUKE UNIVERSITY   (United States)

^e Toulouse School of Economics   (France)

Author keywords

Eigenfunction stochastic volatility models; High frequency data; Integrated volatility; Market microstructure noise; Realized volatility; Robust volatility measures; Volatility forecasting

Indexed keywords

HIGH FREQUENCY DATA; INTEGRATED VOLATILITY; MARKET MICROSTRUCTURES; REALIZED VOLATILITY; ROBUST VOLATILITY MEASURES; STOCHASTIC VOLATILITY MODEL; VOLATILITY FORECASTING;

COMMERCE; EIGENVALUES AND EIGENFUNCTIONS; MICROSTRUCTURE; NUMBER THEORY; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

FORECASTING;

EID: 78649721522     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.032     Document Type: Conference Paper

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