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Volumn 160, Issue 1, 2011, Pages 129-144

Box-Cox transforms for realized volatility

Author keywords

BoxCox transformation; Edgeworth expansions; Realized volatility

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;

EID: 78649722419     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2010.03.026     Document Type: Conference Paper
Times cited : (32)

References (17)
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    • Econometric analysis of realized volatility and its use in estimating stochastic volatility models
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  • 9
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  • 16
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.