Realized range-based estimation of integrated variance

Journal of Econometrics

Volumn 141, Issue 2, 2007, Pages 323-349

  Christensen, Kim ^a   Podolskij, Mark ^b  

^a AARHUS SCHOOL OF BUSINESS   (Denmark)

^b RUHR UNIVERSITY BOCHUM   (Germany)

Author keywords

Central limit theorem; Continuous semimartingales; Integrated variance; Realized range based variance; Realized variance

Indexed keywords

DATA REDUCTION; GAUSSIAN DISTRIBUTION; INFERENCE ENGINES; PROBLEM SOLVING; SET THEORY;

CENTRAL LIMIT THEOREM; CONTINUOUS SEMIMARTINGALES; INTEGRATED VARIANCE; REALIZED RANGE-BASED VARIANCE; REALIZED VARIANCE;

PROBABILISTIC LOGICS;

EID: 34848912832     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2006.06.012     Document Type: Article

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