Measuring and Forecasting Stock Market Volatilities with High-Frequency Data
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10614-024-10674-6.pdf
Reference49 articles.
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3. Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. The Review of Economics and Statistics, 89(4), 701–720.
4. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61(1), 43–76.
5. Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001). The distribution of realized exchange rate volatility. Journal of the American Statistical Association, 96(453), 42–55.
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