<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
  <dc:contributor>Barone Adesi, Giovanni</dc:contributor>
  <dc:contributor>Audrino, Francesco</dc:contributor>
  <dc:creator>Corsi, Fulvio</dc:creator>
  <dc:date>2005-07-06</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">This study develops new realized volatility and correlation estimators which, while fully exploiting all the available information contained in tick-by-tick data, effectively correct for the bias induced by microstructure effects. Building on such high frequency measures, it also proposes new conditional volatility models able to provide accurate and easy-to-implement volatility forecasts.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://n2t.net/ark:/12658/srd1317904</dc:identifier>
  <dc:identifier>https://susi.usi.ch/global/documents/317904</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/317904/files/2005ECO004.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-108460</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1317904</dc:relation>
  <dc:rights>info:eu-repo/semantics/openAccess</dc:rights>
  <dc:rights>License undefined</dc:rights>
  <dc:subject xmlns:ns1="xml" ns1:lang="en">High frequency data</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Realized volatility</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Realized correlation</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Market microstructure</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Bias correction</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Volatility models</dc:subject>
  <dc:subject xmlns:ns7="xml" ns7:lang="en">Long memory</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns8="xml" ns8:lang="en">Measuring and modelling realized volatility : from tick-by-tick to long memory</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_db06</dc:type>
</oai_dc:dc>