Measuring and modelling realized volatility

Corsi, Fulvio

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Doctoral thesis

Measuring and modelling realized volatility : from tick-by-tick to long memory

Corsi, Fulvio
Barone Adesi, Giovanni (Degree supervisor)
Audrino, Francesco (Degree committee member)

06.07.2005

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Thèse de doctorat: Università della Svizzera italiana, 2005 (jury note: summa cum laude)

English 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.

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