Modelling realized variance when returns are serially correlated
Alternative title: | Modellierung realisierter Varianz bei autokorrelierten Erträgen |
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Year of publication: |
2004
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Authors: | Oomen, Roel C. A. |
Institutions: | Abteilung "Marktprozesse und Steuerung", Wissenschaftszentrum Berlin für Sozialforschung (WZB) |
Subject: | High frequency data | realized return variance | market microstructure | temporal aggregation | long memory | bootstrap |
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