Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
paper we adopt this view on the dependence structure of volatility and propose a localized procedure for modeling realized …
Localized Realized
Volatility Modelling
Ying Chen*
Wolfgang Karl Härdle**
Uta Pigorsch***
SFB 649 … 1, D-10178 Berlin
Localized Realized Volatility Modelling
Ying Cheny, Wolfgang Karl H ardlez and Uta Pigorschx …