A Theoretical Comparison Between Integrated and Realized Volatilies

Nour 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: C50 C51 C52 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: A theoretical comparison between integrated and realized volatility (2002)
Working Paper: A Theoretical Comparison Between Integrated and Realized Volatilities (2001)
Working Paper: A Theoretical Comparison Between Integrated and Realized Volatilies (2001)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:2001-26

Access Statistics for this paper

More papers in Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ Contact information at EDIRC.
Bibliographic data for series maintained by Sharon BREWER ().