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Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics


  • Francis X. Diebold


With an eye toward financial asset pricing, asset allocation, and risk management, I review and interpret the rapidly-growing literature on modeling and forecasting realized volatility constructed from high-frequency returns. I discuss a variety of applications and extensions, including recent work on realized betas, and methods for disentangling the continuous and jump components of total return variability in stock, bond and foreign exchange markets.

Suggested Citation

  • Francis X. Diebold, 2004. "Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics," Econometric Society 2004 Australasian Meetings 352, Econometric Society.
  • Handle: RePEc:ecm:ausm04:352

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    More about this item


    volatility measurement; forecasting performance; realized volatilities;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates


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