Open AccessUsing Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Author(s) -
A. Ronald Gallant,
Chien Te Hsu,
George Tauchen
Publication year - 1999
Publication title -
carolina digital repository (university of north carolina at chapel hill)
Language(s) - English
DOI - 10.17615/9rcy-6073
Subject(s) - volatility (finance) , econometrics , realized variance , range (aeronautics) , variance (accounting) , variance components , economics , financial economics , mathematics , statistics , engineering , accounting , aerospace engineering