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1.
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This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that th[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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2.
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Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]
2014 | Journal Article | Peer-Reviewed Publications - Publications à comité de lecture |
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3.
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Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed fr[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The co[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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