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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Realised power variation and stochastic volatility variance
Realised power variation and stochastic volatility variance
Publication information:
Barndorff-Nielsen, Ole E., and Neil Shephard. 2003. “Realised Power Variation and Stochastic Volatility Variance”.
Bernoulli
9: 243-65.
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