Realized Volatility
Author:
Publisher
Springer Nature Singapore
Link
https://link.springer.com/content/pdf/10.1007/978-981-16-1135-3_3
Reference9 articles.
1. Admati, A.R., and P. Pfleiderer. 1988. A theory of intraday patterns: Volume and price variability. Review of Financial Studies 1 (1): 340.
2. Andersen, T.G., T. Bollerslev, F.X. Diebold, and P. Labys. 2003. Modeling and Forecasting Realised Volatility. Econometrica 71 (2): 579–625.
3. Bandi, F., J.R. Russell, and Y. Zhu. 2008. Using high-frequency data in dynamic portfolio choice. Econometric Reviews 27: 163–198.
4. Carvalho, Marcelo C., Marco A. S. Freire, Marcelo C. Medeiros, and Leonardo R. Souza. 2006. Modeling and Forecasting the Volatility of Brazilian Asset Returns: A Realized Variance Approach. Brazilian Review of Finance 4: 321–343.
5. Chan, K. 1992. A further analysis of the lead-lag relationship between the cash market and the stock index futures market.". Review of Financial Studies 5: 123–152.
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