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Year of publication
Subject
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absolute variation 2 central limit theory 2 high-frequency data 2 quadratic variation 2 semimartingale 2 spot volatility 2 state-space representation 2 stochastic volatility models 2 #64257 1 Absolute variation 1 High-frequency data 1 Kalman & 1 Kalman filter 1 Quadratic variation 1 Semimartingale 1 Stochastic volatility models 1 lter 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 2 Book / Working Paper 1
Language
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Undetermined 2 English 1
Author
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Ysusi, Carla 3
Institution
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Banco de México 1
Published in...
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International Journal of Monetary Economics and Finance 2 Working Papers / Banco de México 1
Source
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RePEc 3
Showing 1 - 3 of 3
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Estimating Integrated Volatility Using Absolute High-Frequency Returns
Ysusi, Carla - Banco de México - 2006
When high-frequency data is available, in the context of a stochastic volatility model, realised absolute variation can … attractive as they are less sensitive to possible large movements in high-frequency data, realised absolute variation does not …
Persistent link: https://www.econbiz.de/10004974515
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Estimating integrated volatility using absolute high-frequency returns
Ysusi, Carla - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 177-200
When high-frequency data is available, in the context of a stochastic volatility model, realised absolute variation can … attractive as they are less sensitive to possible large movements in high-frequency data, realised absolute variation does not …
Persistent link: https://www.econbiz.de/10005543994
Saved in:
Cover Image
Estimating integrated volatility using absolute high-frequency returns
Ysusi, Carla - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 177-200
When high-frequency data is available, in the context of a stochastic volatility model, realised absolute variation can … attractive as they are less sensitive to possible large movements in high-frequency data, realised absolute variation does not …
Persistent link: https://www.econbiz.de/10008538690
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