Behavior of realized volatility and correlation in exchange markets
We study time-varying realized volatility and related correlation measures as proxies for the true volatility and correlation. We investigate measures of Two-Scale realized Absolute Volatility (TSAV) and correlation (TSACORxy) which are helpful to cope effectively with the problem of market micro...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2010-09-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/2590018.pdf |