A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches
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More about this item
Keywords
High-frequency data; Price duration; Realized measures of integrated variance; Value-at-Risk.;All these keywords.
JEL classification:
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C - Mathematical and Quantitative Methods
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2023-07-17 (Econometric Time Series)
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