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