On the variance of the error associated to the squared return as proxy of volatility

Umberto Triacca

Applied Financial Economics Letters, 2007, vol. 3, issue 4, 255-257

Abstract: In this article we derive, under two different stochastic volatility models, the expression of the variance of the error associate to the use of the squared return as proxy of daily volatility.

Date: 2007
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DOI: 10.1080/17446540601118343

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