Asymmetry of Information Flow Between Volatilities Across Time Scales
Year of publication: |
2004-08-11
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Authors: | Gencay, Ramazan ; Selcuk, Faruk |
Institutions: | Econometric Society |
Subject: | Volatility | High Frequency Finance | Wavelets | Hidden Markov Trees |
Extent: | text/html |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Econometric Society North American Winter Meetings 2004 Number 90 |
Classification: | C1 - Econometric and Statistical Methods: General ; G0 - Financial Economics. General ; G1 - General Financial Markets |
Source: |
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