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...
| Principais autores: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
Elsevier
2009
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