Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/7/4/341/2344117/nbp012.pdf
Reference28 articles.
1. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
2. The Distribution of Realized Exchange Rate Volatility
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