Asymptotic theory of range-based multipower variation
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- Kim Christensen & Mark Podolskij, 2012. "Asymptotic Theory of Range-Based Multipower Variation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 10(3), pages 417-456, June.
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- Vortelinos, Dimitrios I., 2014. "Optimally sampled realized range-based volatility estimators," Research in International Business and Finance, Elsevier, vol. 30(C), pages 34-50.
- repec:oup:jfinec:v:14:y:2016:i:1:p:29-80. is not listed on IDEAS
- Duembgen, Moritz & Podolskij, Mark, 2015. "High-frequency asymptotics for path-dependent functionals of Itô semimartingales," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1195-1217.
- repec:spr:jecfin:v:41:y:2017:i:4:d:10.1007_s12197-017-9386-x is not listed on IDEAS
- Vortelinos, Dimitrios I., 2016. "Incremental information of stock indicators," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 79-97.
- Liu, Jing & Wei, Yu & Ma, Feng & Wahab, M.I.M., 2017. "Forecasting the realized range-based volatility using dynamic model averaging approach," Economic Modelling, Elsevier, vol. 61(C), pages 12-26.
- repec:eee:ecmode:v:64:y:2017:i:c:p:560-566 is not listed on IDEAS
- Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2016. "Volatility Jumps and Their Economic Determinants," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(1), pages 29-80.
- Zhi Liu, 2017. "Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations," Finance and Stochastics, Springer, vol. 21(2), pages 427-469, April.
More about this item
KeywordsHigh-frequency data; Integrated variance; Realised multipower variation; Realised range-basedmultipower variation; Quadratic variation.;
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
- NEP-ECM-2011-12-19 (Econometrics)
- NEP-ETS-2011-12-19 (Econometric Time Series)
- NEP-MST-2011-12-19 (Market Microstructure)
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