articleJournal of EconometricsFeb 27, 2005Closed access

Predicting volatility: getting the most out of return data sampled at different frequencies

ÉGÉric GhyselsPSPedro Santa‐ClaraRVRossen Valkanov

University of North Carolina at Chapel Hill

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Topics & keywords

Topics
Keywords
  • Volatility (finance)
  • Econometrics
  • Realized variance
  • Quadratic variation
  • Forward volatility
  • Variance swap
  • Statistics
  • Mathematics
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