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Corsi, 2009 - Google Patents

A simple approximate long-memory model of realized volatility

Corsi, 2009

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Document ID
3827072877019554685
Author
Corsi F
Publication year
Publication venue
Journal of financial econometrics

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Snippet

The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components realized over different …
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