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Using high frequency stock market index data to calculate, model and forecast realized return variance

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Roel C.A. OOMEN

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Paper provided by European University Institute in its series Economics Working Papers with number ECO2001/06.

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Date of creation: 2001
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Handle: RePEc:eui:euiwps:eco2001/06

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  1. Giot,Pierre & Laurent,Sebastien, 2001. "Modelling daily value-at-risk using realized volatility and arch type models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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