On measuring volatility of diffusion processes with high frequency data-Reference-Cited by-同舟云学术

On measuring volatility of diffusion processes with high frequency data

Published:2002-02 Issue:3 Volume:74 Page:371-378
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Barucci Emilio,Renò Roberto

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference16 articles.

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

2. Barucci, E., Renò, R., 2000. On measuring volatility and the GARCH forecasting performance. Journal of International Financial Markets, Institutions and Money, forthcoming.

3. Closing the GARCH gap: continuous time GARCH models;Drost;Journal of Econometrics,1996

4. Augmented GARCH(p, q) process and its diffusion limit;Duan;Journal of Econometrics,1997

5. On the relation between the expected value of the volatility of the nominal excess return on stocks;Glosten;Journal of Finance,1989

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