Abstract
Having a general framework to model asset prices, it is the purpose of this chapter to obtain the instruments to estimate the latent integrated volatility on a ultra-high-frequency scale. Using tick-by-tick data measured in milliseconds rather than in minutes, hours, or days, the most promising approach are realized volatility estimators.
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© 2016 Springer Fachmedien Wiesbaden
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Kömm, H. (2016). Integrated Volatility. In: Forecasting High-Frequency Volatility Shocks. Springer Gabler, Wiesbaden. https://doi.org/10.1007/978-3-658-12596-7_3
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DOI: https://doi.org/10.1007/978-3-658-12596-7_3
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Publisher Name: Springer Gabler, Wiesbaden
Print ISBN: 978-3-658-12595-0
Online ISBN: 978-3-658-12596-7
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