Volatility analysis in high‐frequency financial data
Author:
Affiliation:
1. Department of Statistics University of Wisconsin‐Madison Madison WI USA
2. Department of Mathematical Sciences Worcester Polytechnic Institute Worcester MA USA
Funder
National Science Foundation
Publisher
Wiley
Subject
Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/wics.1330
Reference45 articles.
1. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
2. Modeling and Forecasting Realized Volatility
3. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
4. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
5. A Tale of Two Time Scales
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