Now showing items 1-1 of 1

  • A Theoretical Comparison Between Integrated and Realized Volatilies 

    Meddahi, Nour (Université de Montréal. Département de sciences économiques., 2001)
    In this paper, we provide both qualitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed. We start by characterizing for a general diffusion the ...