Modeling and forecasting realized volatility
By: Torben G. Andersen ... [et al.].
Contributors: Andersen, Torben G.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8160; Working paper series (National Bureau of Economic Research) -- working paper no. 8160.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 32
Subjects: Securities -- Prices -- Forecasting.; Rate of return -- Forecasting.; Risk management.
Description: This paper discusses the measurement, modeling, and forecasting of daily and lower frequency volatility and return distributions.
Notes: JEL no. C1, G1, F3.

"March 2001."

Includes bibliographical references (p. 28-32).

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