Work

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

Year: 2008

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1150086

Authors: Torben G. Andersen, Tim Bollerslev, Per Skaarup Frederiksen, Morten Orregaard Nielsen, Margit Sommer

Institutions: Northwestern University, National Bureau of Economic Research, Aarhus University, Duke University, BlackRock (United States)

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2127009028

Cites: 109

Cited by: 70

Related to: 10