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Realized wavelet-based estimation of integrated variance and jumps in the presence of noise. (2013). Vacha, Lukas ; Baruník, Jozef.
In: Papers.
RePEc:arx:papers:1202.1854.

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Cited: 4

Citations received by this document

Cites: 43

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

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Citations received by this document

  1. Do co-jumps impact correlations in currency markets?. (2017). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef.
    In: Papers.
    RePEc:arx:papers:1602.05489.

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  2. Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Krehlik, Tomas ; Baruník, Jozef ; Barunik, Jozef.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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  3. Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet band spectrum regression. (2015). Baruník, Jozef ; Barunikova, Michaela .
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:43.

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  4. Revisiting the fractional cointegrating dynamics of implied-realized volatility relation with wavelet band spectrum regression. (2013). Baruník, Jozef ; Barunik, Jozef ; Barunikova, Michaela .
    In: Papers.
    RePEc:arx:papers:1208.4831.

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References

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