Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Reference48 articles.
1. Aït-Sahalia Y, Jacod J (2012) Analyzing the spectrum of asset returns: jump and volatility components in high frequency data. J Econ Lit 50:1007–1050
2. Aït-Sahalia Y, Jacod J (2014) High-frequency financial econometrics. Princeton University Press, Princeton
3. Andersen TG, Bollerslev T, Diebold FX, Labys P (2003) Modeling and forecasting realized volatility. Econometrica 71:529–626. https://doi.org/10.1111/1468-0262.00418
4. Andersen TG, Bollerslev T, Diebold FX (2006) Parametric and nonparametric volatility measurement. In: Hansen LP, Ait-Sahalia Y (eds) Handbook of financial econometrics. North-Holland, Amsterdam, pp 67–137
5. Andersen TG, Bollerslev T, Diebold FX (2007) Roughing it up: including jump components in the measurement, modeling and forecasting of return volatility. Rev Econ Stat 89:701–720. https://doi.org/10.1162/rest.89.4.701
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献