Journal of Applied Econometrics Data Archive

Torben G. Andersen, Tim Bollerslev, Per Frederiksen, and Morten Ø. Nielsen, "Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns", Journal of Applied Econometrics, Vol. 25, No. 2, 2010, pp. 233-261.

• Readme file
• abfn-data.zip
• ABFN_080822_appendix.pdf

Return to JAE Data Archive