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Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach
Tse, Yiu-kuen, Yang, Thomas TaoVolume:
30
Language:
english
Journal:
Journal of Business & Economic Statistics
DOI:
10.1080/07350015.2012.707582
Date:
October, 2012
File:
PDF, 1.39 MB
english, 2012