Realized drift

DOI10.1016/J.JECONOM.2024.105813MaRDI QIDQ6854612zbMATH OpenFDO

Authors Sébastien Laurent, Roberto Renò, Shuping Shi

Publication date 24 February 2026

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

zbMATH Keywords

drifthigh-frequency datavolatility forecastingserial covariance

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

This page was built for publication: Realized drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6854612)