Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2004
arguably best modeled as
stationary I(0) processes. We conclude by drawing implications for asset pricing and portfolio …
management.
JEL Classification: C1, G1
Keywords: quadratic variation and covariation, realized volatility, asset pricing … insights of asset pricing theory is also one of the simplest: only systematic risk
should be priced. Perhaps not surprisingly …