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Drift-independent volatility estimation based on high, low, open, and close prices
Yang, Dennis, (2000)
Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns
Wright, Jonathan H., (2000)
The econometrics of ultra-high-frequency data
Engle, Robert F., (2000)
Mean reversion in stock price? : a reappraisal of the empirical evidence
Kim, Myung-jig, (1990)
Mean reversion in stock prices? : a reappraisal of the empirical evidence
Kim, Myung-jig, (1988)
Predictable stock returns : reality or statistical illusion?
Nelson, Charles R., (1990)