Department of Economics and Business Economics

Realised quantile-based estimation of the integrated variance

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Realised quantile-based estimation of the integrated variance. / Christensen, Kim; Oomen, Roel; Podolskij, Mark.

In: Journal of Econometrics, Vol. 159, No. 1, 2010, p. 74-98.

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

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Author

Christensen, Kim ; Oomen, Roel ; Podolskij, Mark. / Realised quantile-based estimation of the integrated variance. In: Journal of Econometrics. 2010 ; Vol. 159, No. 1. pp. 74-98.

Bibtex

@article{6731bbf39a7f461482dd12efc5fec1a2,
title = "Realised quantile-based estimation of the integrated variance",
author = "Kim Christensen and Roel Oomen and Mark Podolskij",
year = "2010",
doi = "10.1016/j.jeconom.2010.04.008",
language = "English",
volume = "159",
pages = "74--98",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Realised quantile-based estimation of the integrated variance

AU - Christensen, Kim

AU - Oomen, Roel

AU - Podolskij, Mark

PY - 2010

Y1 - 2010

U2 - 10.1016/j.jeconom.2010.04.008

DO - 10.1016/j.jeconom.2010.04.008

M3 - Journal article

VL - 159

SP - 74

EP - 98

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -