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Efficient realized variance, regression coefficient, and correlation coefficient under different sampling frequencies. (2012). Shin, Dong Wan ; Park, Sangun .
In: Economics Letters.
RePEc:eee:ecolet:v:115:y:2012:i:3:p:334-337.

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  1. Andersen, T.G. ; Bollerslev, T. Answering the skeptics: yes, standard volatility models do provide accurate forecasts. 1998 International Economic Review. 39 885-905

  2. Anderson, T.W. Maximum likelihood estimates for the multivariate normal distribution when some observation are missing. 1957 Journal of the American Statistical Association. 52 200-203
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  3. Barndorff-Nielsen, O.E. ; Shephard, N. Econometric analysis of realised covariation: high frequency based covariance, regression and correlation in financial economics. 2004 Econometrica. 72 885-925

  4. Barndorff-Nielsen, O.E. ; Shephard, N. Variation, jumps and high frequency data in financial econometrics. 2007 En : Blundell, R. ; Torsten, P. ; Newey, W.K. Advances in Economics and Econometrics: Theory and Applications, Ninth World Congress. Cambridge University Press:

  5. Little, R.J.L. ; Rubin, D.B. Statistical Analysis with Missing Data. 2002 Wiley: New York
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  6. McAleer, M. ; Medeiros, M.C. Realized volatility: a review. 2008 Econometric Reviews. 27 10-45

  7. Poon, S. ; Granger, C.W.J. Forecasting volatility in financial markets: a review. 2003 Journal of Economic Literature. 41 478-539

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