Consistent high-precision volatility from high-frequency data
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Other versions of this item:
- Fulvio Corsi & Gilles Zumbach & Ulrich A. Muller & Michel M. Dacorogna, 2001. "Consistent High-precision Volatility from High-frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 183-204, July.
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Keywordsvolatility; high-frequency data; foreign exchange;
- G - Financial Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-11 (All new papers)
- NEP-ETS-2004-07-11 (Econometric Time Series)
- NEP-FIN-2004-07-11 (Finance)
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