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Title
Volatility measurement with pockets of extreme return persistence
Authors
Keywords
Extreme return persistence, High-frequency data, Integrated volatility estimation, Market microstructure noise, Volatility forecasting
Journal
JOURNAL OF ECONOMETRICS
Volume -, Issue -, Pages -
Publisher
Elsevier BV
Online
2021-02-07
DOI
10.1016/j.jeconom.2020.11.005
References
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