Citation Context

...mputing the volatility of a financial time series in a time interval with high frequency data (e.g. daily volatility) is provided by the sum of the squared intraday returns (i.e. realized volatility) =-=[9, 12, 13]-=-. In the limit, as the time interval between two consecutive observations converges to zero, the realized volatility converges to the quadratic variation of the process and its derivative provides the...