Quarticity Estimation on ohlc Data
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/13/2/505/2840421/nbu016.pdf
Reference20 articles.
1. Comment
2. An Empirical Investigation of Continuous-Time Equity Return Models
3. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
4. Jump-robust volatility estimation using nearest neighbor truncation
5. Limit theorems for multipower variation in the presence of jumps
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