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Bi-power Variance
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Jumps
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Multiplicative Error Models
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Realized Variance
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Squared Returns
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Volatility
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Italian
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Gallo, Giampiero
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Velucchi, Margherita
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Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
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Econometrics Working Papers Archive
Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät / Wirtschaftswissenschaftliche Fakultät, Universität Hannover : Hannover economic papers (HEP)
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Econometrics Working Papers
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On the Interaction between Ultra–high Frequency Measures of Volatility
Gallo, Giampiero
;
Velucchi, Margherita
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Dipartimento di Statistica, Informatica, Applicazioni …
-
2007
results show that there is a directed dynamic relationship among measures, with
squared
returns
and bipower variance …
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