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Browsing Duke Faculty Scholarship by Subject "Quadratic variation"

DukeSpace

Browsing Duke Faculty Scholarship by Subject "Quadratic variation"

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  • "Estimating Stochastic Volatility Diffusions Using Conditional Moments of Integrated Volatility"
    Bollerslev, Tim; Zhou, Hao (Journal of Econometrics, 2002)
    We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical ...
  • "Modeling and Forecasting Realized Volatility"
    Bollerslev, Tim; Andersen, T.G.; Diebold, F. X.; Labys, P. (Econometrica, 2003)
    We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for ...