Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
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Publication:494402
DOI10.1016/j.jeconom.2015.02.008zbMath1337.62329OpenAlexW3123351111MaRDI QIDQ494402
Kevin Sheppard, Lily Y. Liu, Andrew J. Patton
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:4a291238-52f0-44d2-9002-9047482df6e8
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Uses Software
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