Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
Using unobservable conditional variance as measure, latent–variable approaches, such as GARCH and stochastic–volatility …–frequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … “observable” or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA …