The Distribution of Realized Exchange Rate Volatility
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Publication:4808055
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
long memoryforecastinghigh-frequency dataquadratic variationrisk managementrealized volatilityintegrated volatility
Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)
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