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Comparison between our proposed method and alternatives during the high volatility period.

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posted on 2019-02-14, 18:36 authored by Liang-Ching Lin, Li-Hsien Sun

Comparison between our proposed method and alternatives during the high volatility period.

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    Keywords

    likelihood functionGirsanov theoreminterval time series modelvolatility modelintra-daily informationlikelihood estimatesMLEinterval time seriessimulation studytime series

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