High frequency data, frequency domain inference and volatility forecasting
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- Tim Bollerslev & Jonathan H. Wright, 2001. "High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 596-602, November.
References listed on IDEAS
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More about this item
KeywordsFinancial markets ; Forecasting;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-02-08 (All new papers)
- NEP-ECM-2001-02-08 (Econometrics)
- NEP-ETS-2001-02-08 (Econometric Time Series)
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