Using High Frequency Data to Calculate, Model and Forecast Realized Volatility
Year of publication: |
2001-04-01
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Authors: | Oomen, Roel |
Institutions: | Society for Computational Economics - SCE |
Subject: | High Frequency Data | Long Memory | GARCH | Realized Volatility |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Computing in Economics and Finance 2001 Number 75 |
Classification: | C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing |
Source: |
-
The volatility of realized volatility
Corsi, Fulvio, (2005)
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The volatility of realized volatility
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The Volatility of Realized Volatility
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International dynamic asset allocation and return predictability
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