Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics

Francis Diebold

No 352, Econometric Society 2004 Australasian Meetings from Econometric Society

Abstract: With an eye toward financial asset pricing, asset allocation, and risk management, I review and interpret the rapidly-growing literature on modeling and forecasting realized volatility constructed from high-frequency returns. I discuss a variety of applications and extensions, including recent work on realized betas, and methods for disentangling the continuous and jump components of total return variability in stock, bond and foreign exchange markets.

Keywords: volatility measurement; forecasting performance; realized volatilities (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:ecm:ausm04:352

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