Holidays, weekends and range-based volatility
Author:
Funder
Spanish Ministry of Science, Innovation and Universities
FEDER
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference28 articles.
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4. Clements, A., Preve, D. (2019). A Practical Guide to Harnessing the HAR Volatility Model. Available at SSRN 3369484.
5. Comparing Predictive Accuracy;Diebold;Journal of Business and Economic Statistics,1995
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