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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. 13(3): 105-108.

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