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A conditional extreme value volatility estimator based on high-frequency returns

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  • Bali, Turan G.
  • Weinbaum, David

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  • Bali, Turan G. & Weinbaum, David, 2007. "A conditional extreme value volatility estimator based on high-frequency returns," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 361-397, February.
    • Handle: RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397
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