Time transformations, intraday data, and volatility models

Pierre Giot

No 1500, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2001-01-01
Note: In : Journal of Computational Finance, 4(2), 31-62, 2001
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Working Paper: Time transformations, intraday data and volatility models (1999)
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