An econometric analysis of volatility discovery
Year of publication: |
2024
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Authors: | Dias, Gustavo Fruet ; Papailias, Fotis ; Scherrer, Cristina |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 3, p. 1095-1106
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Subject: | Double asymptotics | Fractionally cointegrated vector autoregressive model | High-frequency data | Long memory | Market microstructure | Price discovery | Realized measures | Volatilität | Volatility | Marktmikrostruktur | Kointegration | Cointegration | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | VAR-Modell | VAR model | Schätztheorie | Estimation theory |
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