The Distribution of Realized Exchange Rate Volatility

DOI10.1198/016214501750332965zbMath1015.62107OpenAlexW3125412410MaRDI QIDQ4808055

Tim Bollerslev, Torben G. Andersen, Paul Labys, Francis X. Diebold

Publication date: 10 August 2003

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.352.9662

zbMATH Keywords

long memoryforecastinghigh-frequency dataquadratic variationrisk managementrealized volatilityintegrated volatility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)

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