Threshold bipower variation and the impact of jumps on volatility forecasting

Published 2010 View Full Article

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Title
Threshold bipower variation and the impact of jumps on volatility forecasting
Authors
Keywords
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Journal
JOURNAL OF ECONOMETRICS
Volume 159, Issue 2, Pages 276-288
Publisher
Elsevier BV
Online
2010-08-11
DOI
10.1016/j.jeconom.2010.07.008

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