Using high frequency stock market index data to calculate, model and forecast realized return variance

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Using high frequency stock market index data to calculate, model and forecast realized return variance

OOMEN, Roel C. A.
Title: Using high frequency stock market index data to calculate, model and forecast realized return variance
Author: OOMEN, Roel C. A.
Date: 2001
Publisher: European University Institute
Series/Report no.: EUI ECO; 2001/06
URI: http://hdl.handle.net/1814/760

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  • ECO Working Papers
    Working Papers of the Economics Department of the EUI. ISSN 1725-6704