A reduced form framework for modeling volatility of speculative prices based on realized variation measures
基于已实现变差度量的投机性价格波动率简约式建模框架
Building on realized variance and bipower variation measures constructed from high-frequency financial prices, we propose a simple reduced form framework for effectively incorporating intraday data into the modeling of daily return volatility. We decompose the total daily return variability into the continuous sample path variance, the variation arising from discontinuous jumps that occur during the trading day, as well as the overnight return variance. Our empirical…