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A Theoretical Comparison Between Integrated and Realized Volatilities

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  • Nour Meddahi

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.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Nour Meddahi, 2001. "A Theoretical Comparison Between Integrated and Realized Volatilities," CIRANO Working Papers 2001s-71, CIRANO.
    • Handle: RePEc:cir:cirwor:2001s-71
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    File URL: https://cirano.qc.ca/files/publications/2001s-71.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    integrated volatility; realized volatility; infinitesimal generator; eigenfunction stochastic volatility models; leverage effect; exact moments; volatilité intégrée; volatilité réalisée; générateur infinitésimal; modèles à volatilité stochastique par fonctions propres; effet de levier; moments exacts;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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