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~institution:"Society for Computational Economics - SCE"
~subject:"continuous-time methods"
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continuous-time methods
Endogenous fluctuations and growth
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Poisson uncertainty
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continuous time random walk
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financial markets
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market microstructure
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quadratic variation
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realized volatility
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second order quadratic variation
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stochastic continuous time model
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taxation
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volatility
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welfare analysis
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Hoeg, Esben
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Society for Computational Economics - SCE
Center for Financial Studies
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Department of Economics, University of Pennsylvania
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Ehrvervøkonomisk Institut, Institut for Økonomi
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Computing in Economics and Finance 2005
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Volatility and realized quadratic variation of differenced returns
Hoeg, Esben
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Society for Computational Economics - SCE
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2005
This paper analyzes some asymptotic results for a new estimator of integrated volatility in a
continuous-time
diffusion …
Persistent link: https://www.econbiz.de/10005345054
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