A reduced form framework for modeling volatility of speculative prices based on realized variation measures

2010/03/09 by Torben G. Andersen, Tim Bollerslev, Xin Huang
Decision Sciences · Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Stock Market Forecasting Methods

paper · doi:10.1016/j.jeconom.2010.03.029

openalex publication_date 2010/03/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Citations

• Real-time price discovery in global stock, bond and foreign exchange markets
• A Tale of Two Time Scales