Realized Stochastic Volatility Model
Author:
Publisher
Springer Nature Singapore
Link
https://link.springer.com/content/pdf/10.1007/978-981-99-0935-3_5
Reference66 articles.
1. Aït-sahalia, Y., Mykland, P.A.: Estimating volatility in the presence of market microstructure noise: A review of the theory and practical considerations. In: Andersen, T.G. , Davis, R.A., Krei$$\beta $$, J.P., Mikosch , T.(eds.) Handbook of Financial Time Series, pp. 577–598. Springer, Berlin (2009)
2. Aït-Sahalia, Y., Mykland, P.A., Zhang, L.: How often to sample a continuous-time process in the presence of market microstructure noise. Rev. Fin. Stud. 18(2), 351–416 (2005). https://doi.org/10.1093/rfs/hhi016
3. Andersen, T.G., Benzoni, L.: Realized volatility. In: Andersen, T.G., Davis, R.A., Krei$$\beta $$, J.P., Mikosch, T. (eds.) Handbook of Financial Time Series, pp. 555–575. Springer, Berlin (2009)
4. Andersen, T.G., Bollerslev, T.: Answering the skeptics: yes, standard volatility models do provide accurate forecasts. Int. Econ. Rev. 39(4), 885–905 (1998)
5. Andersen, T.G., Bollerslev, T., Christoffersen, P.F., Diebold, F.X.: Financial risk measurement for financial risk management. In: Constantinides, G.M., Harris, M., Stulz, R.M. (eds.) Handbook of the Economics of Finance, vol. 2B, chap. 17, pp. 1127–1220. North Holland, Amsterdam (2013)
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