Realized Volatility

DOI10.1007/978-3-540-71297-8_24MaRDI QIDQ3646971zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

bipower variationBrownian motionfrictionless marketrealized volatilityvolatility estimation

Mathematics Subject Classification ID

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

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Cited in

(24)

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• Integration of CARMA processes and spot volatility modelling
• Realized range-based estimation of integrated variance
• Realized Volatility: A Review
• Realized beta: persistence and predictability
• Recent results in the theory and applications of CARMA processes
• Implied and realized volatility: empirical model selection
• Time-varying forecasts by variational approximation of sequential Bayesian inference
• European option pricing with stochastic volatility models under parameter uncertainty
• An empirical study on technical analysis: GARCH(1,1) model
• Can volatility solve the naive portfolio puzzle?
• Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
• Ole Eiler Barndorff-Nielsen and financial econometrics
• Funding liquidity and stocks' market liquidity: structural estimation from high-frequency data
• Realized volatility of index constituent stocks in Hong Kong
• Realized volatility with stochastic sampling

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