Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
management.
JEL Classification: C1, G1
Keywords: quadratic variation and covariation, realized volatility, asset pricing …, presumably to guard against beta variation (e.g., Fama, 1976;
Campbell, Lo and MacKinlay, 1997). Fourth, theoretical and … covariances, or
equivalently, empirical quadratic variation and covariation. That is, we do not entertain a null hypothesis of …