Estimating quadratic variation using realized variance-Reference-Cited by-同舟云学术

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Estimating quadratic variation using realized variance

Published:2002 Issue:5 Volume:17 Page:457-477
ISSN:0883-7252
Container-title:Journal of Applied Econometrics
language:en
Short-container-title:J. Appl. Econ.

Author:

Barndorff-Nielsen Ole E.,Shephard Neil

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference37 articles.

1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2. 2002. Parametric and nonparametric measurement of volatility. In Handbook of Financial Econometrics, (eds). North-Holland: Amsterdam; (forthcoming).

3. The distribution of realized stock return volatility

4. The Distribution of Realized Exchange Rate Volatility

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