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Finance / Investment / Volatility / Stochastic volatility / Ole Barndorff-Nielsen / Black–Scholes / Realized variance / Realized kernel / Mathematical finance / Financial economics / Options


The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
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Document Date: 2010-10-14 16:28:24

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Fleming / Brandt / Barndorff-Nielsen and Shephard / Alizadeh / Ericsson / Russell / Google / Diebold / /

Currency

pence / /

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Facility

University of Maryland / Johns Hopkins University / /

IndustryTerm

risk management applications / finance applications / related finance applications / machinery / /

MarketIndex

S&P 500 / /

Organization

Comptroller of the Currency / Federal Reserve Board of Governors / Board of Governors of the Federal Reserve System International Finance Discussion Papers Number / University of Maryland / US Federal Reserve / Board of Governors / Johns Hopkins University / Federal Reserve Board / /

Person

Raymond Zhong / Luca Benzoni / Federico Bandi / Michael Johannes / Erik Hjalmarsson / Viktor Todorov / Michael Gordy / Neil Ericsson / Patrick Mason / Matthew Pritsker / Erica Reisman / Bakshi / Mancini / /

Position

author / writer / Cao / /

ProvinceOrState

Maryland / /

Technology

simulation / /

URL

www.ssrn.com / www.federalreserve.gov/pubs/ifdp / /

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