A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures

Author:

Andersen Torben G.,Bollerslev Tim,Huang Xin

Publisher

Elsevier BV

Reference52 articles.

1. A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High-Frequency Data;A�?ta�?t-Sahalia;Journal of the American Statistical Association,2005

2. An Empirical Investigation of Continuous-time Equity Return Models;Torben G Andersen;Journal of Finance,2002

3. Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts;Torben G Andersen;International Economic Review,1998

4. Volatility Forecasting;Torben G Andersen;Handbook of Economic Forecasting,2006

5. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility;Torben G Andersen;Review of Economics and Statistics,2007

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