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Econometrics Paper
Empirical likelihood for high frequency data Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
February 2017
Paper No' EM591:
Read Abstract | Full Paper (pdf)

JEL Classification: C12; C14; C58


Tags: high frequency data; volatility; empirical likelihood

Econometrics Paper
Nonparametric likelihood for volatility under high frequency data Lorenzo Camponovo, Yukitoshi Matsushita and Taisuke Otsu
January 2015
Paper No' EM/2015/581:
Read Abstract | Full Paper (pdf)

JEL Classification: C14


Tags: nonparametric likelihood; volatility; high frequency data