Max Sutton

The University of Sydney

University of Sydney

Sydney, NSW 2006

Australia

  • The University of Sydney

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Mixed Interval Realized Variance: A Robust Estimator of Stock Price Volatility

Number of pages: 72 Posted: 18 Apr 2015 Last Revised: 05 Jan 2017
Max Sutton, Andrey L. Vasnev and Richard H. Gerlach
The University of Sydney, University of Sydney and University of Sydney
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Abstract:

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volatility, robust estimator