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Localized Realized Volatility Modeling
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, no. 492 (2010): 1376-1393
Abstract
With the recent availability of high-frequency financial data the long-range dependence of volatility regained researchers' interest and has led to the consideration of long-memory models for volatility. The long-range diagnosis of volatility, however, is usually stated for long sample periods, while for small sample sizes, such as one ye...More
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