On measuring volatility of diffusion processes with high frequency data

Reno, Roberto, Barucci, Emilio, RenĂ², Roberto . Economics Letters 2002. 74 (3) :371-378

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Bibtex

@article{CIS-178953,
  Author = {Reno, Roberto and Barucci, Emilio and RenĂ², Roberto},
  Title = {On measuring volatility of diffusion processes with high frequency data},
  Journal = {Economics Letters},
  Volume = {74},
  Number = {3},
  Year = {2002},
  Pages = {371--378},
  Keywords = {Forecasting, GARCH models, generalized autoregressive conditional heteroscedasticity, SR-SARV$(1)$, square-root stochastic autoregressive volatility}
}

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