Asymmetry, realised volatility and stock return risk estimates
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Economics and Econometrics
Link
http://link.springer.com/content/pdf/10.1007/s10258-012-0081-8.pdf
Reference43 articles.
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2. Andersen TG, Bollerslev T, Diebold F, Labys P (2001) The distribution of exchange rate volatility. J Am Stat Assoc 96:42–55
3. Andersen TG, Bollerslev T, Diebold F, Labys P (2003) Modelling and forecasting realized volatility. Econometrica 71:579–625
4. Andersen TG, Bollerslev T, Meddahi N (2005) Correcting the errors: volatility forecast evaluation using high-frequency data and realized volatilities. Econometrica 73:279–296
5. Areal N, Taylor S (2002) The realised volatility of FTSE-100 future prices. J Futures Mark 22:627–648
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