Author:
Christensen Kim,Podolskij Mark,Thamrongrat Nopporn,Veliyev Bezirgen
Reference38 articles.
1. Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data;Y A�?ta�?t-Sahalia;Journal of Economic Literature,2012
2. Testing for jumps in noisy high frequency data;Y A�?ta�?t-Sahalia;Journal of Econometrics,2012
3. How often to sample a continuous-time process in the presence of market microstructure noise;Y A�?ta�?t-Sahalia;Review of Financial Studies,2005
4. Answering the skeptics: Yes, standard volatility models do provide accurate forecasts;T G Andersen;International Economic Review,1998
5. Parametric and nonparametric volatility measurement;T G Andersen;Handbook of Financial Econometrics,2010
Cited by
2 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献