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Wavelet Estimation of Integrated Volatility

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Author Info
Asger Lunde
Esben Hoeg

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 274.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:274

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Related research
Keywords: Financial Econometrics; Stochastic Volatility; Integrated Volatility; Estimation;

Find related papers by JEL classification:
C0 - Mathematical and Quantitative Methods - - General
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
G1 - Financial Economics - - General Financial Markets

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  1. Ole E. Barndorff-Nielsen & Neil Shephard, 2005. "Variation, jumps, market frictions and high frequency data in financial econometrics," OFRC Working Papers Series 2005fe08, Oxford Financial Research Centre. [Downloadable!]
    Other versions:
  2. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil). [Downloadable!]
    Other versions:
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