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Applied Economics Letters Volume 23, 2016 - Issue 16
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Articles

What are returns outside trading hours capturing for volatility of individual stocks?

Xunxiao WangSchool of Statistics and Management, Shanghai University of Finance and Economics, Shanghai200433, ChinaCorrespondence[email protected]
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,
Xundi DiaoSchool of Electronic Information & Electrical Engineering, Shanghai Jiao Tong University, Shanghai200240, ChinaView further author information
&
Yixiang ChenSchool of Economics & Management, Southwest Jiaotong University, Chengdu610031, ChinaView further author information
Pages 1121-1124 | Published online: 23 Jul 2016

References

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  • Zhang, L. 2006. “Efficient Estimation of Stochastic Volatility using Noisy Observations: A Multi-scale Approach“. Bernoulli 12 (6): 1019–1043. doi:10.3150/bj/1165269149

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