A reduced form framework for modeling volatility of speculative prices based on realized variation measures

Journal of Econometrics

Volumn 160, Issue 1, 2011, Pages 176-189

  Andersen, Torben G ^a,b,c   Bollerslev, Tim ^b,c,d   Huang, Xin ^e  

^a NORTHWESTERN UNIVERSITY   (United States)

^b CREATES ^*  (Denmark)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^d DUKE UNIVERSITY   (United States)

^e UNIVERSITY OF OKLAHOMA   (United States)

Author keywords

Bipower variation; Hazard rates; Jumps; Overnight volatility; Realized variation; Stochastic volatility

Indexed keywords

BIPOWER VARIATION; HAZARD RATES; JUMPS; OVERNIGHT VOLATILITY; REALIZED VARIATION; STOCHASTIC VOLATILITY;

STOCHASTIC SYSTEMS;

EID: 78649723744     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.029     Document Type: Conference Paper

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