Forecasting and testing a non-constant volatility
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References listed on IDEAS
- Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
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More about this item
KeywordsNon-constant volatility; approximating and forecasting volatility; Black-Scholes formula; best linear predictor;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-10-21 (All new papers)
- NEP-ECM-2006-10-21 (Econometrics)
- NEP-ETS-2006-10-21 (Econometric Time Series)
- NEP-FIN-2006-10-21 (Finance)
- NEP-FMK-2006-10-21 (Financial Markets)
- NEP-FOR-2006-10-21 (Forecasting)
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