Journal Article

Volatility Measurement with Pockets of Extreme Return Persistence

Journal of Econometrics
Author(s)

Torben Gustav Andersen

Yingying Li

Viktor Todorov

Bo Zhou

Date Published: 2023
Citations: Andersen, Torben Gustav, Yingying Li, Viktor Todorov, Bo Zhou. 2023. Volatility Measurement with Pockets of Extreme Return Persistence. Journal of Econometrics. 105048.