Browsing by Author "Labys, P"

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    • "Modeling and Forecasting Realized Volatility" 

      Andersen, TG; Bollerslev, T; Diebold, FX; Labys, P (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 ...