Search
Now showing items 1-2 of 2
- Sort Options:
- Relevance
- Title Asc
- Title Desc
- Issue Date Asc
- Issue Date Desc
- Submission Date Asc
- Submission Date Desc
- Results Per Page:
- 5
- 10
- 20
- 40
- 60
- 80
- 100
Title:Quarticity estimation on ohlc data Author(s):BALTER, JanineDate:2013Type:Working PaperSeries/Number:EUI MWP; 2013/21Abstract:Integrated quarticity, a measure of the volatility of volatility, plays a key role in analyzing the volatility of financial time series. As it is an important ingredient for the construction of accurate confidence intervals ...
Title:Exponential GARCH Modeling with Realized Measures of Volatility Author(s):HANSEN, Peter Reinhard; HUANG, ZhuoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/26Abstract:We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, ...