A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility
Year of publication: |
2009-07-15
|
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Authors: | Rossi, Eduardo ; Magistris, Paolo Santucci de |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Range-based volatility estimator | Long memory | Fractional cointegration | Fractional VECM | Stock Index Futures |
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