The Volatility of Realized Volatility
Year of publication: |
2008
|
---|---|
Authors: | Corsi, Fulvio ; Mittnik, Stefan ; Pigorsch, Christian ; Pigorsch, Uta |
Published in: |
Econometric Reviews. - Taylor & Francis Journals, ISSN 0747-4938. - Vol. 27.2008, 1-3, p. 46-78
|
Publisher: |
Taylor & Francis Journals |
Subject: | Density forecasting | Finance | HAR-GARCH | Normal inverse Gaussian distribution | Realized quarticity | Realized volatility |
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