Zhang, Ziyi; Li, Wai Keung - In: Economies : open access journal 7 (2019) 2/58, pp. 1-11
structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma … random error is proposed to cater for the non-negativity of the realized volatility. With many good properties, such as … on empirical realized volatility data of 30 stocks, where one third of the cases are fitted quite well, suggesting that …