A reduced form framework for modeling volatility of speculative prices based on realized variation measures
type: Item
instance of: scholarly article
title: A reduced form framework for modeling volatility of speculative prices based on realized variation measures
zbMATH Open document ID: 1441.62584
author: Torben G. Andersen
author: Tim Bollerslev
author: Xin Huang
published in: Journal of Econometrics
publication date: 2016-08-10T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6610571
zbMATH Keywords: stochastic volatility
zbMATH Keywords: realized variation
zbMATH Keywords: bipower variation
zbMATH Keywords: jumps
zbMATH Keywords: hazard rates
zbMATH Keywords: overnight volatility
MaRDI profile type: Publication
full work available at URL: j.jeconom.2010.03.029
OpenAlex ID: W3122817124
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DOI: 10.1016/J.JECONOM.2010.03.029
description: scientific article; zbMATH DE number 6610571