Estimating correlation from high, low, opening and closing prices

Published 2008 View Full Article

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Title
Estimating correlation from high, low, opening and closing prices
Authors
Keywords
-
Journal
ANNALS OF APPLIED PROBABILITY
Volume 18, Issue 2, Pages 813-823
Publisher
Institute of Mathematical Statistics
Online
2008-03-26
DOI
10.1214/07-aap460

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