Book of Donmon Teith

This paper provides a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequ

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical poin

Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding v

The National Bureau of Economic Research, Inc. presents an abstract for the paper entitled "Modeling and Forecasting Realized Volatility," by Torben G. Andersen