Realized Volatility

DOI10.1007/978-3-540-71297-8_24zbMATH Open1178.91216OpenAlexW4211253574MaRDI QIDQ3646971FDOQ3646971

Authors: Torben G. Andersen, Luca Benzoni 

Publication date: 27 November 2009

Published in: Handbook of Financial Time Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-71297-8_24

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zbMATH Keywords

Brownian motionrealized volatilitybipower variationvolatility estimationfrictionless market

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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• A measure of market volatility based on F-transform
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