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The top documents tagged [bipower variation]
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bipower variation
Patton Sheppard Realized Semi Variance 7oct11
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Forecasting Realized Variance Using Jumps Andrey Fradkin Econ 201 4/4/2007.
218 views
Second Attempt at Jump-Detection and Analysis Mike Schwert ECON201FS 2/13/08
15 views
Predictive Models of Realized Variation and the Effects of Realized Semi-Variance on Implied Volatility Haoming Wang 3/19/2008.
217 views
The Informational Content of Implied Volatility in Individual Stocks and the Market
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Predictive Models of Realized Variance Incorporating Sector and Market Variance
30 views
Haoming Wang 3/19/2008
28 views
The Informational Content of Implied Volatility in Individual Stocks and the Market
18 views
Forecasting Realized Variance Using Jumps
28 views
Forecasting Realized Variance Using Jumps
38 views