Article
Great Realisations
Risk Magazine
Author(s)
In a world of continuous trading, accurate estimation of realised volatility is vital. In the first of two empirically flavoured papers, Torben Andersen, Tim Bollerslev, Francis Diebold and Paul Labys show how high-frequency data can be used in an optimal way
Date Published:
2000
Citations:
Andersen, Torben Gustav, Tim Bollerslev, Francis Diebold, Paul Labys. 2000. Great Realisations. Risk Magazine. (3)105-108.