Modeling Realized Variance with Realized Quarticity
This paper proposes a model for realized variance that exploits information in realized quarticity. The realized variance and quarticity measures are both highly persistent and highly correlated with each other. The proposed model incorporates information from the observed realized quarticity proces...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-09-01
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| Series: | Stats |
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| Online Access: | https://www.mdpi.com/2571-905X/5/3/50 |