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A Theoretical Comparison Between Integrated and Realized Volatilies

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  • 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.

Suggested Citation

  • Meddahi, N., 2001. "A Theoretical Comparison Between Integrated and Realized Volatilies," Cahiers de recherche 2001-26, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  • Handle: RePEc:mtl:montec:2001-26
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    More about this item

    Keywords

    ECONOMETRICS ; ECONOMIC MODELS;

    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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