Risk Everywhere: Modeling and Managing Volatility
Author:
Affiliation:
1. Duke University
2. NBER
3. CREATES
4. AQR Capital Management
5. Copenhagen Business School
6. CEPR
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/31/7/2729/25102779/hhy041.pdf
Reference69 articles.
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3. Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility.;Andersen,;Review of Economics and Statistics,2007
4. Great realizations.;Andersen,;Risk,2000
5. Modeling and forecasting realized volatility.;Andersen,;Econometrica,2003
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