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Volumn 160, Issue 1, 2011, Pages 129-144
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Box-Cox transforms for realized volatility
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Author keywords
BoxCox transformation; Edgeworth expansions; Realized volatility
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Indexed keywords
BEST CHOICE;
BOX COX TRANSFORMATION;
CONFIDENCE INTERVAL;
COVERAGE PROBABILITIES;
EDGEWORTH EXPANSION;
FINITE SAMPLE PROPERTIES;
FINITE SAMPLES;
INTEGRATED VOLATILITY;
LOG TRANSFORM;
LOG TRANSFORMATION;
MONTE CARLO SIMULATION;
NON-LINEAR TRANSFORMATIONS;
OPTIMAL VALUES;
REALIZED VOLATILITY;
COMPUTER SIMULATION;
EXPANSION;
MONTE CARLO METHODS;
SAMPLING;
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EID: 78649722419
PISSN: 03044076
EISSN: None
Source Type: Journal
DOI: 10.1016/j.jeconom.2010.03.026 Document Type: Conference Paper |
Times cited : (32)
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References (17)
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