A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · 2009 · Journal of Financial Econometrics

IntermediateIntradayLFTMethodFree to read

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: Intraday, LFT
Data needed: Intraday bars Set what data you have
Themes: Options & volatility
Assets: Equities
Market: Global

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Cite

@article{corsi2009simple,
  author = {Corsi, Fulvio},
  title = {{A Simple Approximate Long-Memory Model of Realized Volatility}},
  journal = {Journal of Financial Econometrics},
  year = {2009},
  doi = {10.1093/jjfinec/nbp001}
}

Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics. https://doi.org/10.1093/jjfinec/nbp001