Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics
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.
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|Date of creation:||11 Aug 2004|
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