Realised quantile-based estimation of the integrated variance
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Publication:736690
DOI10.1016/J.JECONOM.2010.04.008zbMATH Open1431.62473OpenAlexW2123761332MaRDI QIDQ736690FDOQ736690
Mark Podolskij, Roel C. A. Oomen, Kim Christensen
Publication date: 4 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.04.008
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Cited In (29)
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- The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
- ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
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- Subsampling high frequency data
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