Volatility measurement with pockets of extreme return persistence

DOI10.1016/j.jeconom.2020.11.005OpenAlexW3127486155MaRDI QIDQ6090561

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Publication date: 17 November 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://durham-repository.worktribe.com/file/1254602/1/Accepted%20Journal%20Article

zbMATH Keywords

high-frequency datamarket microstructure noisevolatility forecastingintegrated volatility estimationextreme return persistence

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Volatility of volatility and leverage effect from options

Cites Work

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