Using high frequency stock market index data to calculate, model and forecast realized return variance
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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2001/06.
Date of creation: 2001
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- Giot, Pierre & Laurent, Sebastien, 2004.
"Modelling daily Value-at-Risk using realized volatility and ARCH type models,"
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- Robert Ślepaczuk & Grzegorz Zakrzewski, 2009. "High-Frequency and Model-Free Volatility Estimators," Working Papers 2009-13, Faculty of Economic Sciences, University of Warsaw.
- Adam E Clements & Yin Liao, 2013. "Modeling and forecasting realized volatility: getting the most out of the jump component," NCER Working Paper Series 93, National Centre for Econometric Research.
- Adam Clements & Yin Liao, 2014. "The role in index jumps and cojumps in forecasting stock index volatility: Evidence from the Dow Jones index," NCER Working Paper Series 101, National Centre for Econometric Research.
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