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

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

    Research output: Working paperProfessional

    131 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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