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• Roger Koenker
• Zhijie Xiao

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Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 101 (2006)
Issue (Month): (September)
Pages: 980-990
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Handle: RePEc:bes:jnlasa:v:101:y:2006:p:980-990

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7. Laurini, Márcio P. & Furlani, Luiz G. C. & Portugual, Marcelo S., 2008. "Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data," Ibmec Working Papers wpe_101, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
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17. CORONEO, Laura & VEREDAS, David, 2006. "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," CORE Discussion Papers 2006077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
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