Optimal combinations of realised volatility estimators.
Recent advances in financial econometrics have led to the development of new estimators of asset price variability using frequently-sampled price data, known as "realised volatility estimators" or simply "realised measures". These estimators rely on a variety of different assumpt...
| Главные авторы: | , |
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| Формат: | Journal article |
| Язык: | English |
| Опубликовано: |
Elsevier
2009
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