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Realized Volatility Measurements and Forecasts

English title Realized Volatility Measurements and Forecasts
Applicant Corsi Fulvio
Number 104303
Funding scheme Fellowships for prospective researchers
Research institution
Department of Economics Duke University
Università della Svizzera Italiana
Institution of higher education Institution abroad - IACH
Main discipline Economics
Start/End 01.12.2003 - 31.05.2005
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Keywords (8)

high-frequency data; volatility estimation; microstructure; filtering; realized variation; volatility forecast; long memory; multivariate models

Responsible applicant and co-applicants