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The role of dynamic specification in forecasting volatility in the presence of jumps and noisy high-frequency data

Rasmus Tangsgaard Varneskov
Year of publication:
2010
Authors: Varneskov, Rasmus Tangsgaard
Publisher: Århus : School of Economics and Management
Subject: Volatilität | Volatility | Theorie | Theory | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis
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