Chien-Te Hsu

Credit Suisse Asset Management

One Madison Ave

New York, NY 10010

United States

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Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance

Duke Economics Working Paper No. 00-04
Number of pages: 36 Posted: 06 Nov 2000
A. Ronald Gallant, Chien-Te Hsu and George Tauchen
Duke University - Fuqua School of Business, Economics Group, Credit Suisse Asset Management and Duke University - Economics Group
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