Higher order variation and stochastic volatility models
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References listed on IDEAS
- Ghysels, E. & Harvey, A. & Renault, E., 1995.
95.400, Toulouse - GREMAQ.
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More about this item
KeywordsMixed asymptotic normality; Realised volatility; Quadratic variation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2001-10-16 (All new papers)
- NEP-ECM-2001-10-16 (Econometrics)
- NEP-ETS-2001-10-16 (Econometric Time Series)
- NEP-FIN-2001-10-16 (Finance)
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