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Quantitative Finance Volume 21, 2021 - Issue 11
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Research Papers

Structural breaks in Box-Cox transforms of realized volatility: a model selection perspective

Simon Behrendtd-fine GmbH, An der Hauptwache 7, Frankfurt60313, GermanyCorrespondence[email protected]
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Pages 1905-1919 | Received 28 Sep 2019, Accepted 19 Mar 2021, Published online: 15 Jun 2021

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