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Northwestern University, Dept. of Finance
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Andersen, T. G., Bollerslev, T., and Diebold, F. X. (2005), "Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility," working paper, Northwestern University, Dept. of Finance.
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Andersen, T. G., Bollerslev, T., and Meddahi, N. (2005), "Market Microstructure Noise and Realized Volatility Forecasting," unpublished manuscript, Université de Montréal, Dept. of Economics.
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University of Chicago, Graduate School of Business
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University of Chicago, Graduate School of Business
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Federal Reserve Board
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Bollerslev, T., Gibson, M., and Zhou, H. (2004). "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion From Option-Implied and Realized Volatilities," discussion paper. Federal Reserve Board.
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility
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Bollerslev, T., and Zhou, H. (2002), "Estimating Stochastic Volatility Diffusion Using Conditional Moments of Integrated Volatility." Journal of Econometrics, 109, 33-65.
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Bollerslev, T.1
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Estimating and testing stochastic volatility models using realized measures
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Queen Mary, University of London
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Corradi, V. and Distaso, W. (2004), "Estimating and Testing Stochastic Volatility Models Using Realized Measures," working paper. Queen Mary, University of London.
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Feunou, B., Garcia, R., Meddahi, N., and Tedongap, R. (2005), "Estimation of Continuous-Time Models Based on Realized Measures: A Comparison of Methods," unpublished manuscript. Université de Montréal, Dept. of Economics.
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Université de Montréal. Dept. of Economics, and CIRANO
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Garcia, R., Lewis, M.-A., and Renault, E. (2001). "Estimation of Objective and Risk-Neutral Distributions Based on Moments of Integrated Volatility." working paper, Université de Montréal. Dept. of Economics, and CIRANO.
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An eigenfunction approach for volatility modeling
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Université de Montréal. Dept. of Economics
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Meddahi, N. (2001), "An Eigenfunction Approach for Volatility Modeling," working paper. Université de Montréal. Dept. of Economics.
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7th WCES, eds. D. M. Kreps and K. F. Wallis, Cambridge, U.K.: Cambridge University Press
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Stochastic volatility models with transaction time risk
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Tilburg University, Dept. of Economics
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Renault, E., and Werker, B. J. M. (2004). "Stochastic Volatility Models With Transaction Time Risk," working paper. Tilburg University, Dept. of Economics.
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