Volatility and risk estimation with linear and nonlinear methods based on high frequency data
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DOI: 10.1080/0960310042000243556
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- Tseng-Chan Tseng & Hung-Cheng Lai & Cha-Fei Lin, 2012. "The impact of overnight returns on realized volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 22(5), pages 357-364, March.
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