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~person:"Andersen, Torben G."
~subject:"continuous-time stochastic volatility model"
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continuous-time stochastic volatility model
realized volatility
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jumps
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high-frequency data
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quadratic variation
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volatility forecasting
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Continuous-time methods
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HAR-RV model
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bi-power variation
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asset pricing
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continuous-time methods
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equity betas
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long memory
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nonlinear fractional cointegration
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return distributions
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Aktienmarkt
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Statistische Methode
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Andersen, Torben G.
Todorov, Viktor
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School of Economics and Management, University of Aarhus
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Realized Volatility and Multipower Variation
Andersen, Torben G.
;
Todorov, Viktor
-
School of Economics and Management, University of Aarhus
-
2009
This paper reviews basic notions of return variation in the context of a
continuous-time
arbitrage-free asset pricing …
Persistent link: https://www.econbiz.de/10008577800
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