Volatility forecasting using threshold heteroskedastic models of the intra-day range

Title
Volatility forecasting using threshold heteroskedastic models of the intra-day range
Authors
Keywords
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Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 52, Issue 6, Pages 2990-3010
Publisher
Elsevier BV
Online
2007-08-15
DOI
10.1016/j.csda.2007.08.002

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