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- Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, Department of Economics and Business Economics, Aarhus University.
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More about this item
Keywords
Stochastic volatility Realized variation Bipower variation Jumps Hazard rates Overnight volatility;JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G1 - Financial Economics - - General Financial Markets
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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