Comment
Authors:
- 1 April 2006
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 24 (2) , 184-192
Abstract
No abstract availableThis publication has 11 references indexed in Scilit:
- Inferring Information Frequency and QualityJournal of Financial Econometrics, 2005
- On covariance estimation of non-synchronously observed diffusion processesBernoulli, 2005
- AUTOMATIC POSITIVE SEMIDEFINITE HAC COVARIANCE MATRIX AND GMM ESTIMATIONEconometric Theory, 2005
- ARMA representation of integrated and realized variancesThe Econometrics Journal, 2003
- The economic value of volatility timing using “realized” volatilityJournal of Financial Economics, 2003
- Estimating stochastic volatility diffusion using conditional moments of integrated volatilityJournal of Econometrics, 2002
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial EconomicsJournal of the Royal Statistical Society Series B: Statistical Methodology, 2001
- The Economic Value of Volatility TimingThe Journal of Finance, 2001
- The Econometrics of Ultra-high-frequency DataEconometrica, 2000
- Dan Nelson RememberedJournal of Business & Economic Statistics, 1995