Realized volatility forecasting and market microstructure noise

DOI10.1016/j.jeconom.2010.03.032zbMath1441.62585OpenAlexW2135439816MaRDI QIDQ737278

Nour Meddahi, Tim Bollerslev, Torben G. Andersen

Publication date: 10 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.03.032

zbMATH Keywords

high-frequency datamarket microstructure noiserealized volatilityintegrated volatilityvolatility forecastingeigenfunction stochastic volatility modelsrobust volatility measures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (32)

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