Realized measures from the SP500 index from April 1997 to August 2013.
Arguments
Format
A large xts object.
References
Bollerslev, T., A. J. Patton, and R. Quaedvlieg, 2016,
Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting,
Journal of Econometrics, 192, 1-18.