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~person:"McAleer, Michael"
~subject:"estimation of realized volatility"
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estimation of realized volatility
Continuous time
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S&P 500
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VIX
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high frequency data
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implied volatility
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stochastic volatility
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McAleer, Michael
Allen, Dave
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Gao, Jiti
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Econometric modelling in finance and risk management: An overview
Gao, Jiti
;
McAleer, Michael
;
Allen, Dave
-
Volkswirtschaftliche Fakultät, …
-
2006
volatility, modeling time series and
continuous-time
models with long-range dependence, estimation and specification testing of …
Persistent link: https://www.econbiz.de/10005786907
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