Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
收藏NBER2005-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/w11775
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A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in Barndorff
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美国国家经济研究局创建时间：
2005-11-01
