Measuring volatility with the realized range
Year of publication: |
2006-02-28
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Authors: | van Dijk, Dick ; Martens, Martens, M.P.E. |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | bias-correction | high-frequency data | high-low range | market microstructure noise | realized volatility |
Extent: | application/pdf |
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Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2006-10 |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C53 - Forecasting and Other Model Applications |
Source: |
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Measuring volatility with the realized range
Martens, M.P.E., (2006)
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