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The Quadratic-Form Representation of the Pre-Averaging Estimator

The Quadratic-Form Representation of the Pre-Averaging Estimator
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摘要 Volatility forecasts are central to many financial issues, including empirical asset pricing finance and risk management. In this paper, I derive a new quadratic-form representation of the pre-averaging volatility estimator of Jacod et al. (2009), which allows for the theoretical analysis of its forecasting performance.
作者 Selma Chaker
机构地区 Bank of Canada
出处 《Journal of Statistical Science and Application》 2014年第4期142-147,共6页 统计科学与应用(英文版)
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