Model-based measurement of actual volatility in high-frequency data

S.J. Koopman, B.M.J.P. Jungbacker

Research output: Working paperProfessional

136 Downloads (Pure)
Original languageEnglish
Place of PublicationAmsterdam
PublisherTinbergen Instituut (TI)
Number of pages24
Publication statusPublished - 2005

Publication series

NameTI Discussion Paper
No.05/002-4

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