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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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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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  3. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany. [Downloadable!]
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  6. Gael M. Martin & Andrew Reidy & Jill Wright, 2006. "Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility," Monash Econometrics and Business Statistics Working Papers 10/06, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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