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Research Details
Great Realisations, Risk Magazine
Abstract
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
Type
Article
Author(s)
Torben Andersen, Tim Bollerslev, Francis X Diebold, Paul Labys
Date Published
2000
Citations
Andersen, Torben, Tim Bollerslev, Francis X Diebold, and Paul Labys. 2000. Great Realisations. Risk Magazine.(3): 105-108.
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