Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
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DOI: 10.1002/jae.1105
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- Torben G. Andersen & Tim Bollerslev & Per Houmann Frederiksen & Morten Ørregaard Nielsen, 2007. "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns," CREATES Research Papers 2007-21, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Morten Ø. Nielsen & Per Houmann Frederiksen & Torben G. Andersen, 2008. "Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns," Working Paper 1173, Economics Department, Queen's University.
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JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G1 - Financial Economics - - General Financial Markets
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