Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - Tinbergen Instituut - 2004
This discussion paper resulted in an article in the <I>Journal of Empirical Finance</I> (2005). Vol. 12, issue 3, pages 445-475.<p> The increasing availability of financial market data at intraday frequencies has not only led to the development of improved volatility measurements but has also inspired...</p></i>