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- W2272643909 abstract "We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to high-frequency commodity prices." @default.
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- W2272643909 date "2015-12-27" @default.
- W2272643909 modified "2023-09-23" @default.
- W2272643909 title "A Markov Chain Estimator of Multivariate Volatility from High Frequency Data" @default.
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- W2272643909 doi "https://doi.org/10.1007/978-3-319-25826-3_17" @default.
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