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Properties of Realized Variance Under Alternative Sampling Schemes

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Author Info
Oomen, Roel C.A.

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File URL: http://www.ingentaconnect.com/content/asa/jbes/2006/00000024/00000002/art00012
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Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

Volume (Year): 24 (2006)
Issue (Month): (April)
Pages: 219-237
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Handle: RePEc:bes:jnlbes:v:24:y:2006:p:219-237

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  7. Visser, Marcel P., 2008. "Ranking and Combining Volatility Proxies for Garch and Stochastic Volatility Models," MPRA Paper 4917, University Library of Munich, Germany. [Downloadable!]
  8. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics. [Downloadable!]
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