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Econometrics Paper
Relative error accurate statistic based on nonparametric likelihood Lorenzo Camponovo and Taisuke Otsu
November 2017
Paper No' EM 593:
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JEL Classification: C12; C14

Tags: nonparametric likelihood; saddlepoint; moment condition model

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