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A Theoretical Comparison Between Integrated and Realized Volatilies

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Author Info
Meddahi, N.
Abstract

In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

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Publisher Info
Paper provided by Centre interuniversitaire de recherche en économie quantitative, CIREQ in its series Cahiers de recherche with number 2001-26.

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Length: 30 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:mtl:montec:2001-26

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Related research
Keywords: ECONOMETRICS ; ECONOMIC MODELS;

Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing
C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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This page was last updated on 2009-11-25.

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