OPTIMAL WEIGHT FOR REALIZED VARIANCE BASED ON INTERMITTENT HIGH-FREQUENCY DATA

Hiroki Masuda and Takayki Morimoto

The Japanese Economic Review, 2012, vol. 63, issue 4, 497-527

Date: 2012
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Working Paper: An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data (2009)
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DOI: 10.1111/jere.2012.63.issue-4

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