Parametric and Nonparametric Volatility Measurement

Book Section (Chapter)

Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade.

Duke Authors

Cited Authors

  • Bollerslev, T; Andersen, T; Diebold, FX

Cited Editors

  • Aït-Sahalia, Y; Hansen, LP

Published Date

  • 2010

Book Title

  • Handbook of Financial Econometrics

Chapter

  • 2

Published By