Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "leverage effect"
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A Theoretical Comparison Between Integrated and Realized Volatilies
(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 ...