Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
Year of publication: |
2003-02-01
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Authors: | Andersen, Torben G. ; Bollerslev, Tim ; Diebold, Francis X. |
Institutions: | Department of Economics, University of Pennsylvania |
Subject: | Continuous-time methods | jumps | quadratic variation | realized volatility | bi-power variation | high-frequency data | volatility forecasting | HAR-RV model |
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