Asymptotic Theory of Range-Based Multipower Variation
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance
Link
http://academic.oup.com/jfec/article-pdf/10/3/417/2310718/nbr019.pdf
Reference59 articles.
1. Estimating the degree of activity of jumps in high frequency data
2. Testing for jumps in a discretely observed process
3. Edgeworth expansions for realized volatility and related estimators
4. Range-Based Estimation of Stochastic Volatility Models
5. An Empirical Investigation of Continuous-Time Equity Return Models
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