Open AccessUsing Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance
Author(s) -
A. Ronald Gallant,
Chiente Hsu,
George Tauchen
Publication year - 2000
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.235742
Subject(s) - econometrics , volatility (finance) , range (aeronautics) , variance (accounting) , realized variance , variance swap , economics , stochastic volatility , financial economics , computer science , statistics , mathematics , forward volatility , engineering , accounting , aerospace engineering
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