实际波动率理论及实证综述

[1] The Distribution of Realized Exchange Rate Volatility. Andersen T G,Bollerslev T,Diebold F X and Labys P. Journal of the American Statistical Association . 2001

[2] The Distribution of Realized Stock Return Volatility. Andersen T G,Bollerslev T,Diebold F X and Ebens H. The Journal of Finance . 2001

[3] On Estimating the Expected Return on the Market: An Exploratory Investigation. Merton R C. The Journal of Finance . 1980

[4] Why Does Stock Market Volatility Change Over Time. Schwert G W. The Journal of Finance . 1989

[5] Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. Andersen T G,and Bollerslev T. International Economic Journal . 1998

[6] Modeling and forecasting realized volatility. Andersen T G,Bollerslev T,Diebold F X,et al. Econometrica . 2003

[7] The incremental volatility information in one million foreign exchange quotations. Taylor S J and XU X. Journal of Empirical Finance . 1997

[1] The Distribution of Realized Exchange Rate Volatility. Andersen T G,Bollerslev T,Diebold F X and Labys P. Journal of the American Statistical Association . 2001

[2] The Distribution of Realized Stock Return Volatility. Andersen T G,Bollerslev T,Diebold F X and Ebens H. The Journal of Finance . 2001

[3] On Estimating the Expected Return on the Market: An Exploratory Investigation. Merton R C. The Journal of Finance . 1980

[4] Why Does Stock Market Volatility Change Over Time. Schwert G W. The Journal of Finance . 1989

[5] Answering the skeptics: Yes, standard volatility models do provide accurate forecasts. Andersen T G,and Bollerslev T. International Economic Journal . 1998

[6] Modeling and forecasting realized volatility. Andersen T G,Bollerslev T,Diebold F X,et al. Econometrica . 2003

[7] The incremental volatility information in one million foreign exchange quotations. Taylor S J and XU X. Journal of Empirical Finance . 1997