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Distribution approximations for cointegration tests with stationary exogenous...
The distribution of a functional of two correlated vector-Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for... -
Estimating quadratic variation using realized variance (replication data)
This paper looks at some recent work on estimating quadratic variation using realized variance (RV)?that is, sums of M squared returns. This econometrics has been motivated by...
