Estimating quadratic variation using realised variance
Year of publication: |
2002-03-01
|
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Authors: | Shephard, Neil ; Barndorff-Nielsen, Ole E. |
Institutions: | Department of Economics, Oxford University |
Subject: | Integrated variance | Power variation | Quadratic variation | Realised variance | Realised volatility | Semimartingale | Volatility |
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