Why Do Absolute Returns Predict Volatility So Well?
Author:
Publisher
Elsevier BV
Reference37 articles.
1. Parametric and Nonparametric Volatility Measurement
2. Roughing it up: Including jump components in the measurement, modeling and forecasting of return volatility;T G Andersen;Review of Economics and Statistics,2006
3. LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
4. Non-gaussian ornstein-uhlenbeck-based models and some of their uses in financial econometrics;O E Barndorff-Nielsen;Journal of the Royal Statistical Society, Series B,2001
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1. Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets;SSRN Electronic Journal;2008
2. Chapter 5 Volatility;Financial Engineering;2007
3. Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets;SSRN Electronic Journal;2007
4. MIDAS Regressions: Further Results and New Directions;SSRN Electronic Journal;2006
5. Structural Breaks in Financial Time Series;SSRN Electronic Journal;2006
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