Working Paper

Realized Volatility Forecasting and Market Microstructure Noise

Journal of Econometrics
Author(s)

Torben Gustav Andersen

Tim Bollerslev

Nour Meddahi

Date Published: 2007
Citations: Andersen, Torben Gustav, Tim Bollerslev, Nour Meddahi. 2007. Realized Volatility Forecasting and Market Microstructure Noise. Journal of Econometrics.