A Theoretical Comparison Between Integrated and Realized Volatilies.

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

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Year of publication:	2001
Authors:	Meddahi, N.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	ECONOMETRICS \| ECONOMIC MODELS

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	30 pages
Classification:	C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005545599