Realized range-based estimation of integrated variance

Author:

Christensen Kim,Podolskij Mark

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference42 articles.

1. On mixing and stability of limit theorems;Aldous;Annals of Probability,1978

2. Range-based estimation of stochastic volatility models;Alizadeh;Journal of Finance,2002

3. Intraday periodicity and volatility persistence in financial markets;Andersen;Journal of Empirical Finance,1997

4. Answering the skeptics: yes, standard volatility models do provide accuratte forecasts;Andersen;International Economic Review,1998

5. The distribution of realized stock return volatility;Andersen;Journal of Financial Economics,2001

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