A Theoretical Comparison Between Integrated and Realized Volatilies

N. Meddahi

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.

Keywords: ECONOMETRICS; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C51 C52 C50 (search for similar items in EconPapers)
Date: 2001

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