The Volatility of Realized Volatility (Q3539863)

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The Volatility of Realized Volatility
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    Statements

    title
    The Volatility of Realized Volatility (English)
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    author
    Fulvio Corsi
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    Christian Pigorsch
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    Uta Pigorsch
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    Stefan Mittnik
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    publication date
    19 November 2008
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    zbMATH Keywords
    density forecasting
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    finance
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    HAR-GARCH
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    normal inverse Gaussian distribution
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    realized quarticity
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    realized volatility
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    Identifiers

    Mathematics Subject Classification ID
    91G70
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    62P05
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    62M10
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    91B84
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    zbMATH DE Number
    5368897
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    OpenAlex ID
    W2146270957
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