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The top documents tagged [bipower variation]
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Patton Sheppard Realized Semi Variance 7oct11
28 views
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Forecasting Realized Variance Using Jumps Andrey Fradkin Econ 201 4/4/2007
225 views
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Forecasting Realized Variance Using Jumps
46 views
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Second Attempt at Jump-Detection and Analysis Mike Schwert ECON201FS 2/13/08
15 views
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Predictive Models of Realized Variation and the Effects of Realized Semi-Variance on Implied Volatility Haoming Wang 3/19/2008
220 views
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The Informational Content of Implied Volatility in Individual Stocks and the Market
25 views
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Predictive Models of Realized Variance Incorporating Sector and Market Variance
38 views
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Haoming Wang 3/19/2008
38 views
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The Informational Content of Implied Volatility in Individual Stocks and the Market
19 views
Documents
Forecasting Realized Variance Using Jumps
31 views