Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes
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DOI: 10.1016/j.physa.2007.12.018
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- Tapiero, Charles S. & Vallois, Pierre, 2016. "Fractional randomness," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 1161-1177.
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Keywords
Volatility; Range process; Risk;All these keywords.
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