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Properties of Realized Variance for a Pure Jump Processes: Calendar Time vs Business Time Sampling

Event information
Date 26 May 2004
Time 13:00-14:00 (Timezone: Europe/London)
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

His research interests are in the risk management of derivatives, market microstructure, time series econometrics, continuous time models and high frequency data.