Realized Volatility and Multipower Variation
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More about this item
Keywords
realized volatility; multipower variation; jumps; quadratic variation; volatility estimation; volatility forecasting; jump testing; continuous-time stochastic volatility model.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2009-11-07 (Econometrics)
- NEP-MST-2009-11-07 (Market Microstructure)
Statistics
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