Towards a unified framework for high and low frequency return volatility modeling

DOI10.1111/1467-9574.00085zbMATH Open0951.91018OpenAlexW1971628273MaRDI QIDQ4259384FDOQ4259384

Authors: Torben G. Andersen, Tim Bollerslev 

Publication date: 23 August 1999

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9574.00085

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zbMATH Keywords

long memorystochastic volatilityARCHhigh-frequency dataintraday seasonal

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cited In (8)

• Multiresolution approximation for volatility processes
• Inventory Effects on Daily Returns in Financial Markets
• Realistic Statistical Modelling of Financial Data
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures
• Parametric estimation of long memory in factor models
• When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components

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