articleJournal of EconometricsMar 9, 2015Closed access

Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

LYLily Y. LiuAJAndrew J. PattonKSKevin Sheppard

Duke University

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Abstract

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577
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3

Topics & keywords

Topics
Keywords
  • Estimator
  • Econometrics
  • Benchmark (surveying)
  • Inference
  • Realized variance
  • Asset (computer security)
  • Asset allocation
  • Statistics
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